Ssga Funds NCSRS Certified semi-annual shareholder report (management investment company)

Ssga Funds N-CSRSCertified semi-annual shareholder report (management investment company)


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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number: 811-05430

SSgA Funds

(Exact name of Registrant as specified in charter)

1301 2nd Avenue 18^th Floor, Seattle Washington 98101
(Address of principal executive offices) (Zip code)

Mary Beth Rhoden, Secretary and Chief Legal Officer
1301 2nd Avenue
18^th Floor
Seattle, Washington 98101
206-505-4846

(Name and address of agent for service)

Registrant’s telephone number, including area code: 206-505-7877

Date of fiscal year end: August 31

Date of reporting period: September 1, 2011 to February 29, 2012

Item 1. Reports to Stockholders

[Insert copy of shareholder report]

EQUITY FUNDS

Disciplined Equity Fund
Dynamic Small Cap Fund
Dynamic Small Cap Fund – Class R
Tuckerman Active REIT Fund
IAM SHARES Fund
Enhanced Small Cap Fund
Directional Core Equity Fund

Semiannual Report
February 29, 2012

SSgA Funds

Equity Funds

Semi-annual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

Disciplined Equity Fund		3
Dynamic Small Cap Fund		11
Tuckerman Active REIT Fund		19
IAM SHARES Fund		23
Enhanced Small Cap Fund		31
Directional Core Equity Fund		41
Notes to Schedules of Investments		47
Statements of Assets and Liabilities		48
Statements of Operations		50
Statements of Changes in Net Assets		52
Financial Highlights		54
Notes to Financial Highlights		56
Notes to Financial Statements		57
Shareholder Requests for Additional Information		70
Disclosure of Information about Fund Trustees and Officers		71
Fund Management and Service Providers		75

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds. This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

Performance quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

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SSgA
Disciplined Equity Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,136.39	$	1,021.63
Expenses Paid During Period*	$	3.45	$	3.27


*	Expenses are equal to the Fund’s annualized expense ratio of 0.65% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Disciplined Equity Fund		3

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SSgA
Disciplined Equity Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 97.7%

Consumer Discretionary - 11.0%
Amazon.com, Inc. (Æ)		78		14
Apollo Group, Inc. Class A (Æ)(Ñ)		20		1
AutoZone, Inc. (Æ)		103		39
Bed Bath & Beyond, Inc. (Æ)(Ñ)		575		34
Coach, Inc.		579		43
Comcast Corp. Class A		1,554		46
Dillard’s, Inc. Class A		70		4
DIRECTV, Inc. Class A (Æ)		80		4
DISH Network Corp. Class A		45		1
Expedia, Inc. (Ñ)		501		17
Ford Motor Co. (Ñ)		1,030		13
Harman International Industries, Inc. (Ñ)		129		6
Home Depot, Inc. (Ñ)		560		27
International Game Technology		753		11
Interpublic Group of Cos., Inc. (The)		2,083		24
Las Vegas Sands Corp. (Ñ)		418		23
Lear Corp. (Ñ)		525		24
Liberty Media Corp. - Interactive (Æ)		1,763		33
Macy’s, Inc.		1,045		40
Madison Square Garden Co. (The) Class A (Æ)(Ñ)		279		9
McDonald’s Corp. (Ñ)		813		81
McGraw-Hill Cos., Inc. (The)		242		11
Newell Rubbermaid, Inc. (Ñ)		60		1
News Corp. Class A (Ñ)		1,257		25
Nike, Inc. Class B		335		36
Ross Stores, Inc.		685		37
Target Corp. (Ñ)		24		1
Time Warner Cable, Inc. (Ñ)		24		2
Time Warner, Inc. (Ñ)		1,239		46
TJX Cos., Inc.		958		35
Viacom, Inc. Class B		935		45
Visteon Corp. (Æ)(Ñ)		231		12
Walt Disney Co. (The) (Ñ)		310		13
Yum! Brands, Inc.		339		23

				781


Consumer Staples - 10.2%
Altria Group, Inc.		283		8
Coca-Cola Co. (The)		818		57
Coca-Cola Enterprises, Inc.		748		22
CVS Caremark Corp.		1,421		64
Dr Pepper Snapple Group, Inc. (Ñ)		107		4
Estee Lauder Cos., Inc. (The) Class A		153		9
General Mills, Inc.		148		6
Kraft Foods, Inc. Class A		1,014		39
Kroger Co. (The)		1,471		35
Mead Johnson Nutrition Co. Class A		358		28
Monster Beverage Corp. (Æ)		590		34
PepsiCo, Inc.		450		28
Philip Morris International, Inc.		1,322		110
Procter & Gamble Co. (The)		1,838		124
Reynolds American, Inc. (Ñ)		924		39
Sara Lee Corp.		1,741		35
Tyson Foods, Inc. Class A		68		1
Walgreen Co. (Ñ)		686		23
Wal-Mart Stores, Inc. (Ñ)		1,076		64

				730


Energy - 11.5%
Baker Hughes, Inc.		31		2
Cabot Oil & Gas Corp.		66		2
Chevron Corp.		1,382		151
ConocoPhillips (Ñ)		362		28
Consol Energy, Inc.		316		11
Core Laboratories NV (Ñ)		6		1
Devon Energy Corp.		520		38
EQT Corp. (Ñ)		86		5
Exxon Mobil Corp.		3,026		262
Halliburton Co.		35		1
Helmerich & Payne, Inc. (Ñ)		40		2
HollyFrontier Corp. (Ñ)		393		13
Marathon Oil Corp.		1,342		45
Marathon Petroleum Corp. (Ñ)		673		28
Nabors Industries, Ltd. (Æ)		47		1
National Oilwell Varco, Inc. (Ñ)		593		49
Noble Energy, Inc. (Ñ)		18		2
Occidental Petroleum Corp.		439		46
Patterson-UTI Energy, Inc. (Ñ)		40		1
QEP Resources, Inc.		489		17
Schlumberger, Ltd.		413		32
Spectra Energy Corp.		45		1
Superior Energy Services, Inc. (Æ)		140		4
Unit Corp. (Æ)		587		28
Valero Energy Corp. (Ñ)		371		9
Williams Cos., Inc. (The)		1,186		35
WPX Energy, Inc. (Æ)(Ñ)		188		3

				817


Financials - 14.0%
ACE, Ltd.		598		43
Aflac, Inc.		14		1
American Capital Agency Corp. (Ñ)(ö)		602		18
American Financial Group, Inc.		704		26
American International Group, Inc. (Æ)		148		4
American National Insurance Co. (Ñ)		11		1
Ameriprise Financial, Inc.		565		32
Annaly Capital Management, Inc. (Ñ)(ö)		261		4
Aspen Insurance Holdings, Ltd.		49		1


Disciplined Equity Fund		5

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Associated Banc-Corp. (Ñ)		60		1
Assurant, Inc. (Ñ)		769		33
Axis Capital Holdings, Ltd.		189		6
Bank of America Corp.		5,739		46
Berkshire Hathaway, Inc. Class B (Æ)		942		74
BlackRock, Inc. Class A		51		10
Brandywine Realty Trust (Ñ)(ö)		61		1
Camden Property Trust (Ñ)(ö)		326		20
Capitol Federal Financial, Inc.		360		4
Chimera Investment Corp. (ö)		3,598		11
Citigroup, Inc.		993		33
CommonWealth REIT (ö)		180		3
Discover Financial Services (Ñ)		1,380		41
East West Bancorp, Inc. (Ñ)		40		1
First Citizens BancShares, Inc. Class A (Æ)		3		1
Goldman Sachs Group, Inc. (The)		255		29
Hanover Insurance Group, Inc. (The)		40		2
Interactive Brokers Group, Inc. Class A		1,905		30
Invesco, Ltd.		916		23
JPMorgan Chase & Co.		2,662		104
KeyCorp		3,509		28
Loews Corp.		994		39
MetLife, Inc. (Ñ)		21		1
Moody’s Corp. (Ñ)		24		1
Morgan Stanley (Ñ)		753		14
NASDAQ OMX Group, Inc. (The) (Æ)(Ñ)		657		17
PNC Financial Services Group, Inc.		483		29
Public Storage (ö)		150		20
Regions Financial Corp. (Ñ)		130		1
Senior Housing Properties Trust (ö)		1,352		29
SLM Corp.		1,832		29
Taubman Centers, Inc. (ö)		27		2
Travelers Cos., Inc. (The) (Ñ)		22		1
Unum Group		286		7
US Bancorp (Ñ)		2,032		60
Validus Holdings, Ltd.		959		29
Wells Fargo & Co.		2,565		80
White Mountains Insurance Group, Ltd. (Ñ)		21		10

				1,000


Health Care - 10.7%
Abbott Laboratories		345		20
Aetna, Inc.		898		42
Agilent Technologies, Inc.		691		30
Allergan, Inc. (Ñ)		114		10
Allscripts Healthcare Solutions, Inc. (Æ)		43		1
Amgen, Inc. (Ñ)		556		38
Baxter International, Inc. (Ñ)		623		36
Bristol-Myers Squibb Co.		1,018		33
Cardinal Health, Inc.		214		9
Cigna Corp.		53		2
Coventry Health Care, Inc. (Æ)		180		6
Covidien PLC		764		40
Eli Lilly & Co. (Ñ)		38		1
Forest Laboratories, Inc. (Æ)		221		7
Gilead Sciences, Inc. (Æ)		292		13
HCA Holdings, Inc. (Ñ)		222		6
Hologic, Inc. (Æ)(Ñ)		1,520		32
Humana, Inc.		17		1
Johnson & Johnson		1,059		69
McKesson Corp.		168		14
Merck & Co., Inc.		2,426		93
Mylan, Inc. (Æ)		63		1
Myriad Genetics, Inc. (Æ)(Ñ)		854		21
Pfizer, Inc.		5,549		117
SXC Health Solutions Corp. (Æ)(Ñ)		122		9
United Therapeutics Corp. (Æ)(Ñ)		24		1
UnitedHealth Group, Inc. (Ñ)		1,117		62
Warner Chilcott PLC Class A (Æ)(Ñ)		783		13
WellPoint, Inc.		542		36

				763


Industrials - 10.9%
3M Co. (Ñ)		44		4
Ametek, Inc.		655		31
Caterpillar, Inc.		92		11
Corrections Corp. of America (Æ)		1,336		34
CSX Corp. (Ñ)		1,711		36
Deere & Co.		484		40
Delta Air Lines, Inc. (Æ)		2,810		28
Dun & Bradstreet Corp. (The) (Ñ)		11		1
FedEx Corp.		512		46
General Dynamics Corp.		84		6
General Electric Co.		6,633		126
Honeywell International, Inc.		942		56
ITT Corp. (Ñ)		794		20
KBR, Inc. (Ñ)		304		11
Lambda TD Software, Inc. (Æ)		610		6
Norfolk Southern Corp.		511		35
PACCAR, Inc. (Ñ)		640		30
Raytheon Co. (Ñ)		331		17
Shaw Group, Inc. (The) (Æ)		187		5
Timken Co.		599		31
Towers Watson & Co. Class A		522		33
Tyco International, Ltd. (Ñ)		837		43
Union Pacific Corp. (Ñ)		118		13
United Parcel Service, Inc. Class B (Ñ)		388		30


6		Disciplined Equity Fund

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
United Technologies Corp.		802		67
Xylem, Inc.		598		16

				776


Information Technology - 19.9%
Accenture PLC Class A		779		46
Activision Blizzard, Inc. (Ñ)		592		7
Amdocs, Ltd. (Æ)(Ñ)		949		29
Apple, Inc. (Æ)		504		273
Applied Materials, Inc.		1,493		18
Autodesk, Inc. (Æ)		974		37
Avnet, Inc. (Æ)		806		29
BMC Software, Inc. (Æ)		20		1
Booz Allen Hamilton Holding Corp. Class A (Ñ)		257		5
CA, Inc.		30		1
Cisco Systems, Inc.		4,442		88
Dell, Inc. (Æ)		2,497		43
Electronic Arts, Inc. (Æ)(Ñ)		120		2
EMC Corp. (Æ)(Ñ)		80		2
Google, Inc. Class A (Æ)		121		75
Hewlett-Packard Co.		873		22
IAC/InterActiveCorp (Ñ)		333		15
Intel Corp. (Ñ)		3,872		104
International Business Machines Corp.		802		158
KLA-Tencor Corp. (Ñ)		260		13
LSI Corp. (Æ)(Ñ)		114		1
Marvell Technology Group, Ltd. (Æ)		87		1
Mastercard, Inc. Class A		63		26
Microsoft Corp.		4,127		131
Motorola Solutions, Inc.		592		30
NCR Corp. (Æ)		1,525		33
Oracle Corp.		2,689		79
QUALCOMM, Inc.		947		59
Symantec Corp. (Æ)(Ñ)		218		4
Synopsys, Inc. (Æ)(Ñ)		1,031		31
Western Digital Corp. (Æ)		610		24
Western Union Co. (The) (Ñ)		1,263		22
Xerox Corp.		180		2
Yahoo!, Inc. (Æ)		508		8

				1,419


Materials - 4.0%
Air Products & Chemicals, Inc. (Ñ)		192		17
Airgas, Inc. (Ñ)		11		1
Ball Corp. (Ñ)		795		32
CF Industries Holdings, Inc.		200		37
Eastman Chemical Co. (Ñ)		12		1
EI du Pont de Nemours & Co. (Ñ)		1,014		51
Freeport-McMoRan Copper & Gold, Inc.		636		27
LyondellBasell Industries NV Class A		20		1
MeadWestvaco Corp. (Ñ)		798		24
Monsanto Co.		131		10
Newmont Mining Corp. (Ñ)		201		12
Owens-Illinois, Inc. (Æ)		376		9
Sealed Air Corp. (Ñ)		40		1
Steel Dynamics, Inc.		1,740		26
WR Grace & Co. (Æ)		574		33

				282


Telecommunication Services - 2.3%
AT&T, Inc. (Ñ)		2,322		71
CenturyLink, Inc. (Ñ)		152		6
Clearwire Corp. Class A (Æ)(Ñ)		757		2
Verizon Communications, Inc. (Ñ)		2,165		82

				161


Utilities - 3.2%
AES Corp. (The) (Æ)		624		8
Alliant Energy Corp. (Ñ)		673		29
Ameren Corp. (Ñ)		20		1
American Electric Power Co., Inc.		256		10
Constellation Energy Group, Inc. (Ñ)		242		9
DTE Energy Co.		622		33
Duke Energy Corp. (Ñ)		1,925		40
Northeast Utilities (Ñ)		464		17
NV Energy, Inc. (Ñ)		1,685		26
PG&E Corp. (Ñ)		730		30
PPL Corp. (Ñ)		148		4
Public Service Enterprise Group, Inc. (Ñ)		42		1
Sempra Energy (Ñ)		12		1
Southern Co.		36		2
Wisconsin Energy Corp. (Ñ)		20		1
Xcel Energy, Inc. (Ñ)		744		20

				232


Total Common Stocks (cost $4,774)				6,961


Short-Term Investments - 0.4%
SSgA Prime Money Market Fund		100		—	±
United States Treasury Bills
0.070% due 05/17/12 (ÿ)(§)		25		25


Total Short-Term Investments (cost $25)				25


Disciplined Equity Fund		7

SSgA
Disciplined Equity Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Other Securities - 14.2%
State Street Navigator Securities Lending Prime Portfolio (X)		1,015,250		1,015


Total Other Securities (cost $1,015)				1,015


Total Investments - 112.3% (identified cost $5,814)				8,001

Other Assets and Liabilities, Net - (12.3%)				(876	)


Net Assets - 100.0%				7,125

Amounts in thousands (except contracts amounts)

Unrealized

Appreciation

Number of

Notional

Expiration

(Depreciation)

Futures Contracts

Contracts

Amount

Date

Long Positions

S&P 500 E-Mini Index Futures (CME)

USD

136

/12

—

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

—

See accompanying notes which are an integral part of the financial statements.


8		Disciplined Equity Fund

SSgA
Disciplined Equity Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	781	$	—	$	—	$	781		11.0
Consumer Staples		730		—		—		730		10.2
Energy		817		—		—		817		11.5
Financials		1,000		—		—		1,000		14.0
Health Care		763		—		—		763		10.7
Industrials		776		—		—		776		10.9
Information Technology		1,419		—		—		1,419		19.9
Materials		282		—		—		282		4.0
Telecommunication Services		161		—		—		161		2.3
Utilities		232		—		—		232		3.2
Short-Term Investments		—		25		—		25		0.4
Other Securities		—		1,015		—		1,015		14.2

Total Investments		6,961		1,040		—		8,001		112.3

Other Assets and Liabilities, Net										(12.3	)

										100.0

Other Financial Instruments
Futures Contracts		—		—		—		—		—	*

Total Other Financial Instruments**	$	—	$	—	$	—	$	—


*		Less than .05% of net assets.
**		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


Disciplined Equity Fund		9

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SSgA
Dynamic Small Cap Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,157.49	$	1,018.65
Expenses Paid During Period*	$	6.71	$	6.27


*	Expenses are equal to the Fund’s annualized expense ratio of 1.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,155.63	$	1,016.91
Expenses Paid During Period*	$	8.58	$	8.02


*	Expenses are equal to the Fund’s annualized expense ratio of 1.60% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Dynamic Small Cap Fund		11

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SSgA
Dynamic Small Cap Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 99.6%

Consumer Discretionary - 22.0%
Aeropostale, Inc. (Æ)		1,906		34
American Axle & Manufacturing Holdings, Inc. (Æ)(Ñ)		4,332		49
American Greetings Corp. Class A (Ñ)		2,297		34
ANN, Inc. (Æ)(Ñ)		1,875		45
Arctic Cat, Inc. (Æ)(Ñ)		1,963		72
Asbury Automotive Group, Inc. (Æ)(Ñ)		1,104		29
Ascena Retail Group, Inc. (Æ)(Ñ)		1,739		67
Benihana, Inc. Class A (Ñ)		564		6
Biglari Holdings, Inc. (Æ)(Ñ)		34		14
Blyth, Inc. (Ñ)		313		20
Bob Evans Farms, Inc. (Ñ)		955		35
Bridgepoint Education, Inc. (Æ)(Ñ)		1,511		37
Brown Shoe Co., Inc. (Ñ)		1,286		14
Buckle, Inc. (The) (Ñ)		733		33
Build-A-Bear Workshop, Inc. Class A (Æ)		1,260		7
Capella Education Co. (Æ)		577		22
Carrols Restaurant Group, Inc. (Æ)		900		11
Casual Male Retail Group, Inc. (Æ)(Ñ)		3,450		11
Cato Corp. (The) Class A (Ñ)		1,656		45
CEC Entertainment, Inc.		283		11
Charming Shoppes, Inc. (Æ)(Ñ)		3,292		19
Citi Trends, Inc. (Æ)(Ñ)		774		8
Coinstar, Inc. (Æ)(Ñ)		977		57
Cooper Tire & Rubber Co. (Ñ)		1,847		31
Corinthian Colleges, Inc. (Æ)(Ñ)		4,366		20
Cost Plus, Inc. (Æ)(Ñ)		974		13
Cracker Barrel Old Country Store, Inc. (Ñ)		600		33
Crocs, Inc. (Æ)		1,996		39
CSS Industries, Inc.		564		11
Dana Holding Corp. (Ñ)		3,720		59
Denny’s Corp. (Æ)		2,600		11
Destination Maternity Corp. (Ñ)		331		6
Drew Industries, Inc. (Æ)(Ñ)		385		11
Ethan Allen Interiors, Inc. (Ñ)		1,415		36
Express, Inc. (Æ)(Ñ)		1,542		37
Finish Line, Inc. (The) Class A (Ñ)		2,262		52
Fred’s, Inc. Class A (Ñ)		1,631		23
Global Sources, Ltd. (Æ)(Ñ)		585		3
Group 1 Automotive, Inc. (Ñ)		929		48
Harte-Hanks, Inc. (Ñ)		2,130		19
Helen of Troy, Ltd. (Æ)		1,084		35
hhgregg, Inc. (Æ)(Ñ)		1,194		14
HOT Topic, Inc. (Ñ)		1,128		10
HSN, Inc. (Ñ)		1,211		45
Johnson Outdoors, Inc. Class A (Æ)(Ñ)		500		8
Jones Group, Inc. (The) (Ñ)		3,908		38
Journal Communications, Inc. Class A (Æ)(Ñ)		1,887		9
La-Z-Boy, Inc. (Æ)(Ñ)		2,496		36
Libbey, Inc. (Æ)		464		6
Lifetime Brands, Inc. (Ñ)		456		5
LIN TV Corp. Class A (Æ)(Ñ)		1,584		7
Lincoln Educational Services Corp.		1,457		12
Marcus Corp.		784		9
Men’s Wearhouse, Inc. (The) (Ñ)		1,551		60
Meredith Corp. (Ñ)		520		17
Monarch Casino & Resort, Inc. (Æ)		520		5
Movado Group, Inc. (Ñ)		641		14
Multimedia Games Holding Co., Inc. (Æ)(Ñ)		799		8
Nexstar Broadcasting Group, Inc. Class A (Æ)(Ñ)		1,014		8
Office Depot, Inc. (Æ)(Ñ)		17,119		56
Orbitz Worldwide, Inc. (Æ)(Ñ)		1,498		5
Overstock.com, Inc. (Æ)(Ñ)		885		6
Oxford Industries, Inc. (Ñ)		882		44
Papa John’s International, Inc. (Æ)(Ñ)		658		24
Penske Automotive Group, Inc. (Ñ)		1,941		47
Pier 1 Imports, Inc. (Æ)(Ñ)		3,522		60
Pool Corp. (Ñ)		524		19
Quiksilver, Inc. (Æ)		10,091		47
Regis Corp. (Ñ)		2,018		35
Rent-A-Center, Inc. Class A (Ñ)		1,084		38
Rue21, Inc. (Æ)(Ñ)		718		19
Ruth’s Hospitality Group, Inc. (Æ)(Ñ)		3,500		22
Saks, Inc. (Æ)(Ñ)		3,142		37
Scholastic Corp. (Ñ)		1,349		41
Sealy Corp. (Æ)(Ñ)		3,465		6
Select Comfort Corp. (Æ)(Ñ)		2,391		71
Sinclair Broadcast Group, Inc. Class A (Ñ)		2,520		29
Sonic Automotive, Inc. Class A (Ñ)		2,545		44
Spartan Motors, Inc. (Ñ)		1,982		11
Stage Stores, Inc. (Ñ)		1,976		30
Standard Motor Products, Inc. (Ñ)		533		12
Stein Mart, Inc. (Æ)(Ñ)		1,047		7
Steiner Leisure, Ltd. (Æ)(Ñ)		196		10
Steven Madden, Ltd. (Æ)(Ñ)		1,034		45
Strayer Education, Inc. (Ñ)		289		30
Systemax, Inc. (Æ)(Ñ)		2,409		46
Tenneco, Inc. (Æ)(Ñ)		1,226		47
True Religion Apparel, Inc. (Æ)(Ñ)		1,097		29
Universal Technical Institute, Inc.		448		6
Valassis Communications, Inc. (Æ)(Ñ)		1,402		35
VOXX International Corp. Class A (Æ)		1,409		18
Zumiez, Inc. (Æ)(Ñ)		911		29

				2,483


Dynamic Small Cap Fund		13

SSgA
Dynamic Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Consumer Staples - 5.5%
Andersons, Inc. (The) (Ñ)		675		29
Arden Group, Inc. Class A (Ñ)		112		10
Boston Beer Co., Inc. Class A (Æ)(Ñ)		171		16
Cal-Maine Foods, Inc. (Ñ)		727		28
Casey’s General Stores, Inc. (Ñ)		877		45
Chiquita Brands International, Inc. (Æ)		763		7
Darling International, Inc. (Æ)(Ñ)		2,591		41
Elizabeth Arden, Inc. (Æ)(Ñ)		1,373		51
Fresh Del Monte Produce, Inc. (Ñ)		1,375		31
Ingles Markets, Inc. Class A (Ñ)		738		13
Lancaster Colony Corp.		242		16
Medifast, Inc. (Æ)(Ñ)		778		13
Nash Finch Co. (Ñ)		433		12
National Beverage Corp. (Æ)		1,445		23
Nu Skin Enterprises, Inc. Class A (Ñ)		545		32
Nutraceutical International Corp. (Æ)		406		5
Pantry, Inc. (The) (Æ)		996		12
Revlon, Inc. Class A (Æ)(Ñ)		1,669		25
Rite Aid Corp. (Æ)(Ñ)		32,481		50
Ruddick Corp. (Ñ)		1,169		48
Spartan Stores, Inc. (Ñ)		500		9
Susser Holdings Corp. (Æ)		505		13
Universal Corp. (Ñ)		726		33
USANA Health Sciences, Inc. (Æ)		528		20
Village Super Market, Inc. Class A (Ñ)		330		10
Weis Markets, Inc. (Ñ)		629		27

				619


Energy - 6.8%
Alon USA Energy, Inc. (Ñ)		1,640		15
Basic Energy Services, Inc. (Æ)		450		9
C&J Energy Services, Inc. (Æ)(Ñ)		1,643		33
Clayton Williams Energy, Inc. (Æ)(Ñ)		439		39
Cloud Peak Energy, Inc. (Æ)(Ñ)		1,878		33
CVR Energy, Inc. (Æ)		2,186		60
Delek US Holdings, Inc.		2,522		33
Energy Partners, Ltd. (Æ)		2,722		46
Energy XXI Bermuda, Ltd. (Æ)(Ñ)		2,294		86
Hallador Energy Co. (Ñ)		600		6
Helix Energy Solutions Group, Inc. (Æ)(Ñ)		2,935		56
L&L Energy, Inc. (Æ)(Ñ)		3,529		8
Matrix Service Co. (Æ)(Ñ)		579		8
Newpark Resources, Inc. (Æ)(Ñ)		3,682		29
Parker Drilling Co. (Æ)		7,154		45
Stone Energy Corp. (Æ)(Ñ)		1,800		58
Swift Energy Co. (Æ)(Ñ)		738		22
Vaalco Energy, Inc. (Æ)(Ñ)		2,051		16
W&T Offshore, Inc. (Ñ)		2,087		53
Warren Resources, Inc. (Æ)(Ñ)		3,724		15
Western Refining, Inc. (Ñ)		2,438		44
World Fuel Services Corp. (Ñ)		1,284		54

				768


Financials - 15.0%
1st Source Corp. (Ñ)		1,780		44
AG Mortgage Investment Trust, Inc. (Ñ)		608		12
Alliance Financial Corp. (Ñ)		807		24
American Capital Mortgage Investment Corp. (Ñ)		630		14
American Equity Investment Life Holding Co. (Ñ)		475		6
Ameris Bancorp (Æ)		2,063		24
Arrow Financial Corp. (Ñ)		1,003		24
Artio Global Investors, Inc. Class A (Ñ)		4,355		21
Bancfirst Corp. (Ñ)		269		11
Bank of Kentucky Financial Corp.		93		2
Bank of Marin Bancorp (Ñ)		563		20
Banner Corp. (Ñ)		1,753		36
BBCN Bancorp, Inc. (Æ)		1,537		16
Calamos Asset Management, Inc. Class A		2,050		25
Cash America International, Inc. (Ñ)		755		35
CBL & Associates Properties, Inc. (Ñ)(ö)		3,722		66
Citizens & Northern Corp. (Ñ)		1,246		25
City Holding Co. (Ñ)		303		10
CNO Financial Group, Inc. (Æ)(Ñ)		5,750		43
Columbia Banking System, Inc. (Ñ)		2,280		48
Community Trust Bancorp, Inc. (Ñ)		212		7
Institutionalsite Realty Corp. (Ñ)(ö)		417		9
Crawford & Co. Class B (Ñ)		2,723		12
Duff & Phelps Corp. Class A		619		9
DuPont Fabros Technology, Inc. (Ñ)(ö)		2,116		48
Ezcorp, Inc. Class A (Æ)(Ñ)		1,547		49
FBL Financial Group, Inc. Class A (Ñ)		1,257		43
Financial Institutions, Inc.		1,622		27
First Bancorp		1,085		11
First Merchants Corp. (Ñ)		3,080		34
FXCM, Inc. Class A		1,523		14
Gain Capital Holdings, Inc.		721		4
German American Bancorp, Inc.		1,165		23
Hanmi Financial Corp. (Æ)		2,798		24
Heritage Commerce Corp. (Æ)(Ñ)		5,365		28
Independence Holding Co. (Ñ)		936		9
iShares Russell 2000 Index Fund (Ñ)		724		59
LaSalle Hotel Properties (ö)		2,214		59
Maiden Holdings, Ltd. (Ñ)		1,382		12
Meadowbrook Insurance Group, Inc. (Ñ)		3,827		36
Mission West Properties, Inc. (Ñ)(ö)		1,996		20
National Bankshares, Inc. (Ñ)		857		23


14		Dynamic Small Cap Fund

SSgA
Dynamic Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
National Financial Partners Corp. (Æ)(Ñ)		2,994		46
Presidential Life Corp.		1,246		14
Primerica, Inc.		698		17
PrivateBancorp, Inc. Class A		4,061		59
PS Business Parks, Inc. (Ñ)(ö)		206		13
Pzena Investment Management, Inc. Class A (Ñ)		656		3
RAIT Financial Trust (Ñ)(ö)		1,866		10
Ramco-Gershenson Properties Trust (Ñ)(ö)		565		6
Renasant Corp.		352		5
Republic Bancorp, Inc. Class A (Ñ)		1,590		41
S&T Bancorp, Inc.		2,166		46
Sabra Health Care REIT, Inc. (Ñ)(ö)		684		10
Simmons First National Corp. Class A (Ñ)		238		6
Sovran Self Storage, Inc. (ö)		431		21
State Bank Financial Corp. (Æ)		2,177		35
StellarOne Corp. (Ñ)		1,998		23
Stewart Information Services Corp. (Ñ)		1,160		15
Suffolk Bancorp (Æ)(Ñ)		1,233		15
Sunstone Hotel Investors, Inc. (Æ)(Ñ)(ö)		5,849		53
SVB Financial Group (Æ)		682		40
SWS Group, Inc. (Æ)(Ñ)		797		4
Union First Market Bankshares Corp. (Ñ)		2,263		31
Universal Insurance Holdings, Inc. (Ñ)		4,082		16
Virginia Commerce Bancorp, Inc. (Æ)		3,464		29
Washington Banking Co.		2,148		27
World Acceptance Corp. (Æ)(Ñ)		541		34

				1,685


Health Care - 9.3%
Align Technology, Inc. (Æ)(Ñ)		1,060		27
Almost Family, Inc. (Æ)(Ñ)		720		17
Amedisys, Inc. (Æ)(Ñ)		2,279		29
Amsurg Corp. Class A (Æ)		1,510		39
AngioDynamics, Inc. (Æ)(Ñ)		431		6
Arthrocare Corp. (Æ)(Ñ)		1,428		37
Cambrex Corp. (Æ)(Ñ)		1,499		10
Centene Corp. (Æ)(Ñ)		1,444		71
CONMED Corp. (Æ)(Ñ)		1,582		47
Cross Country Healthcare, Inc. (Æ)(Ñ)		1,479		8
CryoLife, Inc. (Æ)(Ñ)		1,154		6
Depomed, Inc. (Æ)(Ñ)		2,575		16
DynaVox, Inc. Class A (Æ)(Ñ)		1,510		5
Ensign Group, Inc. (The) (Ñ)		807		22
Five Star Quality Care, Inc. (Æ)(Ñ)		4,213		15
Hi-Tech Pharmacal Co., Inc. (Æ)(Ñ)		481		19
Invacare Corp.		1,589		26
Jazz Pharmaceuticals PLC (Æ)(Ñ)		898		47
Medicines Co. (The) (Æ)(Ñ)		2,627		56
Molina Healthcare, Inc. (Æ)(Ñ)		1,936		66
Momenta Pharmaceuticals, Inc. (Æ)(Ñ)		1,692		25
National Healthcare Corp. (Ñ)		511		23
Obagi Medical Products, Inc. (Æ)(Ñ)		604		7
Orthofix International NV (Æ)(Ñ)		548		22
Par Pharmaceutical Cos., Inc. (Æ)(Ñ)		1,372		51
PDL BioPharma, Inc. (Ñ)		5,202		33
Providence Service Corp. (The) (Æ)(Ñ)		867		13
RTI Biologics, Inc. (Æ)(Ñ)		2,580		10
Select Medical Holdings Corp. (Æ)(Ñ)		2,529		21
Spectrum Pharmaceuticals, Inc. (Æ)(Ñ)		1,916		27
Sun Healthcare Group, Inc. Class W (Æ)		2,630		12
Team Health Holdings, Inc. (Æ)(Ñ)		1,794		39
Triple-S Management Corp. Class B (Æ)(Ñ)		1,427		34
Universal American Corp. (Ñ)		530		6
Viropharma, Inc. (Æ)(Ñ)		2,538		81
WellCare Health Plans, Inc. (Æ)(Ñ)		1,113		76

				1,049


Industrials - 17.4%
ACCO Brands Corp. (Æ)(Ñ)		2,969		35
Actuant Corp. Class A (Ñ)		1,867		53
Acuity Brands, Inc. (Ñ)		86		5
Alaska Air Group, Inc. (Æ)(Ñ)		897		61
Albany International Corp. Class A (Ñ)		1,775		42
Allegiant Travel Co. Class A (Æ)(Ñ)		187		9
Amerco, Inc. (Ñ)		107		11
Ampco-Pittsburgh Corp. (Ñ)		395		8
Applied Industrial Technologies, Inc. (Ñ)		1,376		55
Barnes Group, Inc. (Ñ)		1,409		39
Barrett Business Services, Inc.		567		10
Beacon Roofing Supply, Inc. (Æ)(Ñ)		1,746		41
Belden, Inc. (Ñ)		1,394		55
Brady Corp. Class A (Ñ)		768		25
Briggs & Stratton Corp. (Ñ)		1,401		24
Brink’s Co. (The)		1,652		42
Cascade Corp. (Ñ)		489		26
CDI Corp. (Ñ)		434		7
Cenveo, Inc. (Æ)(Ñ)		2,492		10
Comfort Systems USA, Inc. (Ñ)		598		7
Consolidated Graphics, Inc. (Æ)		758		35
Courier Corp. (Ñ)		1,006		11
Cubic Corp. (Ñ)		751		36
Curtiss-Wright Corp. (Ñ)		1,266		47
Deluxe Corp. (Ñ)		1,942		48


Dynamic Small Cap Fund		15

SSgA
Dynamic Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Dollar Thrifty Automotive Group, Inc. (Æ)		287		22
DXP Enterprises, Inc. (Æ)(Ñ)		1,407		52
EMCOR Group, Inc.		1,374		38
EnInstitutional Capital Group, Inc. (Æ)		1,405		31
EnerSys (Æ)(Ñ)		1,258		42
GenCorp, Inc. (Æ)(Ñ)		1,377		8
Gibraltar Industries, Inc. (Æ)		975		13
GP Strategies Corp. (Æ)		700		11
Hawaiian Holdings, Inc. (Æ)(Ñ)		2,002		11
HNI Corp. (Ñ)		1,288		33
Hudson Highland Group, Inc. (Æ)(Ñ)		2,227		10
ICF International, Inc. (Æ)(Ñ)		771		20
Insperity, Inc. (Ñ)		1,521		46
Interline Brands, Inc. (Æ)(Ñ)		1,759		36
Intersections, Inc. (Ñ)		908		11
John Bean Technologies Corp. (Ñ)		646		11
Kadant, Inc. (Æ)(Ñ)		400		9
Kelly Services, Inc. Class A (Ñ)		2,217		33
Kforce, Inc. (Æ)(Ñ)		1,471		21
Kimball International, Inc. Class B (Ñ)		1,560		10
LB Foster Co. Class A		434		13
Meritor, Inc. (Æ)(Ñ)		4,768		35
Michael Baker Corp. (Æ)		449		11
Moog, Inc. Class A (Æ)(Ñ)		943		41
NACCO Industries, Inc. Class A		459		45
Navigant Consulting, Inc. (Æ)(Ñ)		3,284		44
NCI Building Systems, Inc. (Æ)		616		7
NN, Inc. (Æ)(Ñ)		742		7
On Assignment, Inc. (Æ)(Ñ)		1,000		14
Pacer International, Inc. (Æ)(Ñ)		2,397		13
Park-Ohio Holdings Corp. (Æ)(Ñ)		1,795		34
Primoris Services Corp.		2,427		37
Republic Airways Holdings, Inc. (Æ)(Ñ)		3,022		16
Sauer-Danfoss, Inc. (Æ)		668		36
Spirit Airlines, Inc. (Æ)		1,723		34
Standex International Corp. (Ñ)		300		11
Steelcase, Inc. Class A (Ñ)		3,670		32
Sterling Construction Co., Inc. (Æ)(Ñ)		351		4
SYKES Enterprises, Inc. (Æ)(Ñ)		2,200		30
Teledyne Technologies, Inc. (Æ)(Ñ)		855		51
Tennant Co. (Ñ)		927		38
Trimas Corp. (Æ)(Ñ)		1,880		46
TrueBlue, Inc. (Æ)(Ñ)		1,986		33
Unifirst Corp.		183		11
United Stationers, Inc.		1,133		33
Universal Truckload Services, Inc.		361		6
US Airways Group, Inc. (Æ)		4,195		31
Watts Water Technologies, Inc. Class A (Ñ)		405		16
Werner Enterprises, Inc. (Ñ)		627		15

				1,954


Information Technology - 15.6%
ACI Worldwide, Inc. (Æ)		1,489		56
Acxiom Corp. (Æ)(Ñ)		1,663		23
Advanced Energy Industries, Inc. (Æ)(Ñ)		1,250		15
Advent Software, Inc. (Æ)(Ñ)		792		20
Amkor Technology, Inc. (Æ)		1,847		12
Amtech Systems, Inc. (Æ)(Ñ)		1,208		11
Anixter International, Inc. (Æ)(Ñ)		819		57
Brightpoint, Inc. (Æ)(Ñ)		3,859		34
Brooks Automation, Inc. (Ñ)		3,413		41
CACI International, Inc. Class A (Æ)(Ñ)		885		52
Cardtronics, Inc. (Æ)		1,300		35
Convergys Corp. (Æ)(Ñ)		2,794		36
Cray, Inc. (Æ)		1,013		8
Deltek, Inc. (Æ)		779		9
Entegris, Inc. (Æ)		5,702		52
ePlus, Inc. (Æ)(Ñ)		300		10
Extreme Networks (Æ)(Ñ)		3,155		12
Fair Isaac Corp. (Ñ)		1,695		69
Finisar Corp. (Æ)(Ñ)		1,841		37
Global Cash Access Holdings, Inc. (Æ)(Ñ)		1,924		11
GT Advanced Technologies, Inc. (Æ)(Ñ)		4,337		37
Heartland Payment Systems, Inc. (Ñ)		1,332		38
InfoSpace, Inc. (Æ)(Ñ)		919		11
Insight Enterprises, Inc. (Æ)(Ñ)		2,405		50
j2 Global, Inc. (Ñ)		1,252		37
JDA Software Group, Inc. (Æ)(Ñ)		848		21
Kemet Corp. (Æ)		1,611		14
Kenexa Corp. (Æ)		1,306		36
Kulicke & Soffa Industries, Inc. (Æ)(Ñ)		3,715		42
Littelfuse, Inc. (Ñ)		797		42
LTX-Credence Corp. (Æ)		1,963		13
Manhattan Associates, Inc. (Æ)(Ñ)		1,005		47
Mantech International Corp. Class A (Ñ)		628		21
Mentor Graphics Corp. (Æ)		2,647		40
MKS Instruments, Inc.		1,522		46
ModusLink Global Solutions, Inc. (Ñ)		2,136		12
MoneyGram International, Inc. (Æ)		1,422		25
MTS Systems Corp. (Ñ)		821		40
Netscout Systems, Inc. (Æ)(Ñ)		2,545		54
Newport Corp. (Æ)		2,462		41
Omnivision Technologies, Inc. (Æ)		2,370		39
PC Connection, Inc.		1,085		10
Photronics, Inc. (Æ)(Ñ)		1,077		8


16		Dynamic Small Cap Fund

SSgA
Dynamic Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Plexus Corp. (Æ)(Ñ)		397		14
Power-One, Inc. (Æ)		3,589		16
Rubicon Technology, Inc. (Æ)(Ñ)		565		5
Rudolph Technologies, Inc. (Æ)(Ñ)		1,211		12
Sanmina-SCI Corp. (Æ)(Ñ)		3,136		36
Scansource, Inc. (Æ)		389		14
Stream Global Services, Inc. (Æ)		876		3
SYNNEX Corp. (Æ)(Ñ)		947		39
TNS, Inc. (Æ)(Ñ)		1,415		26
TriQuint Semiconductor, Inc. (Æ)(Ñ)		5,075		33
TTM Technologies, Inc. (Æ)(Ñ)		2,774		32
Ultra Clean Holdings (Æ)		1,434		12
Unisys Corp. (Æ)(Ñ)		2,259		42
United Online, Inc. (Ñ)		3,455		17
ValueClick, Inc. (Æ)(Ñ)		2,888		60
Veeco Instruments, Inc. (Æ)(Ñ)		1,646		44
Xyratex, Ltd.		911		16
Zygo Corp. (Æ)		600		11

				1,756


Materials - 6.5%
A Schulman, Inc. (Ñ)		1,339		35
AEP Industries, Inc. (Æ)(Ñ)		217		8
Boise, Inc. (Ñ)		4,384		36
Buckeye Technologies, Inc.		1,477		50
Graphic Packaging Holding Co. (Æ)		4,735		25
Haynes International, Inc. (Ñ)		434		27
HB Fuller Co. (Ñ)		1,373		41
Hecla Mining Co. (Ñ)		4,006		20
Innophos Holdings, Inc.		941		47
Innospec, Inc. (Æ)(Ñ)		712		22
KapStone Paper and Packaging Corp. (Æ)		2,421		49
Koppers Holdings, Inc.		1,051		40
Landec Corp. (Æ)(Ñ)		928		6
Myers Industries, Inc.		775		10
Neenah Paper, Inc. (Ñ)		571		16
NewMarket Corp. (Ñ)		131		24
Noranda Aluminum Holding Corp.		3,325		40
PH Glatfelter Co. (Ñ)		2,214		35
PolyOne Corp. (Ñ)		3,264		44
Quaker Chemical Corp. (Ñ)		250		10
Spartech Corp. (Æ)		2,409		14
Stepan Co.		197		17
Stillwater Mining Co. (Æ)(Ñ)		2,366		34
Thompson Creek Metals Co., Inc. - ADR (Æ)(Ñ)		3,093		23
Tredegar Corp. (Ñ)		1,167		27
Worthington Industries, Inc. (Ñ)		2,206		37

				737


Telecommunication Services - 0.5%
Cbeyond, Inc. (Æ)		1,132		9
Premiere Global Services, Inc. (Æ)(Ñ)		1,130		10
USA Mobility, Inc. (Ñ)		457		6
Vonage Holdings Corp. (Æ)(Ñ)		14,446		34

				59


Utilities - 1.0%
Chesapeake Utilities Corp. (Ñ)		904		37
El Paso Electric Co.		520		17
Laclede Group, Inc. (The)		648		27
WGL Holdings, Inc.		781		32

				113


Total Common Stocks (cost $9,832)				11,223


Short-Term Investments - 0.6%
SSgA Prime Money Market Fund		72,250		72


Total Short-Term Investments (cost $72)				72


Other Securities - 24.9%
State Street Navigator Securities Lending Prime Portfolio (X)		2,799,560		2,800


Total Other Securities (cost $2,800)				2,800


Total Investments - 125.1% (identified cost $12,704)				14,095

Other Assets and Liabilities, Net - (25.1%)				(2,824	)


Net Assets - 100.0%				11,271

See accompanying notes which are an integral part of the financial statements.


Dynamic Small Cap Fund		17

SSgA
Dynamic Small Cap Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	2,483	$	—	$	—	$	2,483		22.0
Consumer Staples		619		—		—		619		5.5
Energy		768		—		—		768		6.8
Financials		1,685		—		—		1,685		15.0
Health Care		1,049		—		—		1,049		9.3
Industrials		1,954		—		—		1,954		17.4
Information Technology		1,756		—		—		1,756		15.6
Materials		737		—		—		737		6.5
Telecommunication Services		59		—		—		59		0.5
Utilities		113		—		—		113		1.0
Short-Term Investments		72		—		—		72		0.6
Other Securities		—		2,800		—		2,800		24.9

Total Investments	$	11,295	$	2,800	$	—	$	14,095		125.1

Other Assets and Liabilities, Net										(25.1	)

										100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


18		Dynamic Small Cap Fund

SSgA
Tuckerman Active REIT Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,088.00	$	1,019.89
Expenses Paid During Period*	$	5.19	$	5.02


*	Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Tuckerman Active REIT Fund		19

This page has been intentionally left blank.

SSgA
Tuckerman Active REIT Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 99.9%

Apartments - 16.8%
AvalonBay Communities, Inc. (ö)		19,431		2,520
Colonial Properties Trust (ö)		41,373		849
Equity Residential (ö)		57,221		3,255
Essex Property Trust, Inc. (Ñ)(ö)		9,497		1,330
Home Properties, Inc. (Ñ)(ö)		15,308		882
UDR, Inc. (ö)		35,668		892

				9,728


Diversified - 10.4%
Digital Realty Trust, Inc. (Ñ)(ö)		30,167		2,187
Duke Realty Corp. (Ñ)(ö)		63,850		886
Vornado Realty Trust (ö)		36,266		2,964

				6,037


Healthcare - 10.9%
HCP, Inc. (ö)		45,366		1,792
Health Care REIT, Inc. (ö)		28,776		1,566
Ventas, Inc. (ö)		52,396		2,930

				6,288


Hotels/Leisure - 10.0%
Ashford Hospitality Trust, Inc. (Ñ)(ö)		47,448		401
DiamondRock Hospitality Co. (ö)		61,865		616
Hersha Hospitality Trust Class A (ö)		95,048		478
Host Hotels & Resorts, Inc. (Ñ)(ö)		156,863		2,475
LaSalle Hotel Properties (Ñ)(ö)		41,294		1,102
Starwood Hotels & Resorts Worldwide, Inc. (ö)		13,224		713

				5,785


Industrial - 5.4%
ProLogis, Inc. (ö)		92,392		3,110


Office - 11.5%
Boston Properties, Inc. (Ñ)(ö)		31,678		3,217
Douglas Emmett, Inc. (Ñ)(ö)		48,683		1,026
Kilroy Realty Corp. (Ñ)(ö)		17,143		752
SL Green Realty Corp. (Ñ)(ö)		21,741		1,653

				6,648


Factory Outlets - 1.7%
Tanger Factory Outlet Centers (ö)		34,215		1,002


Regional Malls - 17.7%
Macerich Co. (The) (Ñ)(ö)		28,626		1,546
Simon Property Group, Inc. (ö)		56,394		7,640
Taubman Centers, Inc. (ö)		15,252		1,053

				10,239


Shopping Centers - 7.0%
Acadia Realty Trust (Ñ)(ö)		32,158		681
Federal Realty Investment Trust (ö)		13,660		1,303
Kimco Realty Corp. (Ñ)(ö)		113,027		2,077

				4,061


Storage - 8.5%
Extra Space Storage, Inc. (Ñ)(ö)		41,546		1,096
Public Storage (ö)		28,756		3,855

				4,951


Total Common Stocks (cost $31,789)				57,849


Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		100		—	±


Total Short-Term Investments (cost $0)±				—	±


Other Securities - 11.3%
State Street Navigator Securities Lending Prime Portfolio (X)		6,557,681		6,558


Total Other Securities (cost $6,558)				6,558


Total Investments - 111.2% (identified cost $38,347)				64,407

Other Assets and Liabilities, Net - (11.2%)				(6,510	)


Net Assets - 100.0%				57,897

See accompanying notes which are an integral part of the financial statements.


Tuckerman Active REIT Fund		21

SSgA
Tuckerman Active REIT Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Portfolio Summary	Level 1		Level 2		Level 3		Total		Assets
Common Stock
Apartments	$	9,728	$	—	$	—	$	9,728		16.8
Diversified		6,037		—		—		6,037		10.4
Healthcare		6,288		—		—		6,288		10.9
Hotels/Leisure		5,785		—		—		5,785		10.0
Industrial		3,110		—		—		3,110		5.4
Office		6,648		—		—		6,648		11.5
Factory Outlets		1,002		—		—		1,002		1.7
Regional Malls		10,239		—		—		10,239		17.7
Shopping Centers		4,061		—		—		4,061		7.0
Storage		4,951		—		—		4,951		8.5
Short-Term Investments		—		—		—		—		—	*
Other Securities		—		6,558		—		6,558		11.3

Total Investments	$	57,849	$	6,558	$	—	$	64,407		111.2

Other Assets and Liabilities, Net										(11.2	)

										100.0


*		Less than .05% of net assets.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


22		Tuckerman Active REIT Fund

SSgA
IAM SHARES Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,136.21	$	1,022.38
Expenses Paid During Period*	$	2.66	$	2.51


*	Expenses are equal to the Fund’s annualized expense ratio of 0.50% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


IAM SHARES Fund		23

This page has been intentionally left blank.

SSgA
IAM SHARES Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 97.2%

Consumer Discretionary - 12.1%
Amazon.com, Inc.(Æ)		4,500		809
AMC Networks, Inc. Class A (Æ)		800		36
AutoNation, Inc. (Æ)		7,300		249
Bed Bath & Beyond, Inc. (Æ)		3,900		233
Best Buy Co., Inc. (Ñ)		5,225		129
Brunswick Corp. (Ñ)		3,500		84
Cablevision Systems Corp. Class A		3,200		46
Carnival Corp.		4,300		130
CBS Corp. Class B		10,201		305
Coach, Inc.		11,376		851
Comcast Corp. Class A		42,966		1,262
Denny’s Corp. (Æ)		14,500		60
DIRECTV, Inc. Class A (Æ)		11,111		515
DR Horton, Inc.		5,100		73
Ethan Allen Interiors, Inc. (Ñ)		4,666		118
Family Dollar Stores, Inc.		3,600		194
Ford Motor Co.		52,943		655
Gannett Co., Inc. (Ñ)		6,000		89
Gap, Inc. (The)		7,300		171
GateHouse Media, Inc. Class A (Æ)		3,900		196
Genuine Parts Co.		2,800		176
Goodyear Tire & Rubber Co. (The) (Æ)		4,300		55
H&R Block, Inc. (Ñ)		3,700		60
Hanesbrands, Inc. (Æ)(Ñ)		3,100		89
Harley-Davidson, Inc.		7,200		335
Home Depot, Inc.		27,700		1,318
Jakks Pacific, Inc. (Ñ)		1,900		30
JC Penney Co., Inc. (Ñ)		3,900		154
Johnson Controls, Inc.		10,300		336
Kohl’s Corp.		5,700		283
Leggett & Platt, Inc. (Ñ)		7,900		179
Liberty Media Corp. - Interactive (Æ)		7,298		137
Liberty Media Corp. - Liberty Capital Class A (Æ)		601		54
Lowe’s Cos., Inc.		20,000		568
Macy’s, Inc.		9,268		352
Marriott International, Inc. Class A (Ñ)		9,400		332
Marriott Vacations Worldwide Corp. (Æ)		940		23
Matthews International Corp. Class A (Ñ)		3,000		93
McClatchy Co. (The) Class A (Æ)(Ñ)		15,070		38
McDonald’s Corp.		17,930		1,780
Meredith Corp. (Ñ)		4,900		161
Netflix, Inc. (Æ)(Ñ)		200		22
New York Times Co. (The) Class A (Æ)(Ñ)		7,200		47
Newell Rubbermaid, Inc.		10,100		185
News Corp. Class A		27,100		538
Nike, Inc. Class B		2,500		270
Nordstrom, Inc.		3,600		193
Omnicom Group, Inc.		3,200		158
Penske Automotive Group, Inc. (Ñ)		1,100		27
priceline.com, Inc. (Æ)		700		439
PVH Corp.		5,200		442
Sears Holdings Corp. (Æ)		4,339		302
Sonic Automotive, Inc. Class A		4,700		81
Staples, Inc.		8,400		123
Starbucks Corp.		8,800		427
Starwood Hotels & Resorts Worldwide, Inc. (ö)		4,300		232
Target Corp.		14,600		828
Tiffany & Co.		6,000		390
Time Warner Cable, Inc.		4,363		346
Time Warner, Inc.		17,383		647
Viacom, Inc. Class B		10,001		476
Walt Disney Co. (The)		29,400		1,235
Washington Post Co. (The) Class B (Ñ)		321		126
Whirlpool Corp. (Ñ)		3,000		227
Wyndham Worldwide Corp.		3,360		148
Yum! Brands, Inc.		5,200		344

				21,011


Consumer Staples - 10.0%
Altria Group, Inc.		34,585		1,041
Archer-Daniels-Midland Co.		10,998		343
Arden Group, Inc. Class A (Ñ)		700		63
Avon Products, Inc.		300		6
Campbell Soup Co. (Ñ)		5,990		200
Church & Dwight Co., Inc. (Ñ)		3,200		153
Coca-Cola Co. (The)		31,675		2,213
Colgate-Palmolive Co.		3,700		345
ConAgra Foods, Inc.		9,900		260
Costco Wholesale Corp.		7,000		602
CVS Caremark Corp.		19,119		862
Dean Foods Co. (Æ)		4,700		58
Energizer Holdings, Inc. (Æ)		400		31
Estee Lauder Cos., Inc. (The) Class A		200		12
General Mills, Inc.		100		4
Great Atlantic & Pacific Tea Co., Inc. (The) (Æ)(Ñ)		13,200		—	±
Imperial Sugar Co.		2,800		16
JM Smucker Co. (The)		4,007		302
Katy Industries, Inc. (Æ)		5,900		1
Kellogg Co.		5,435		284
Kimberly-Clark Corp.		8,188		597
Kraft Foods, Inc. Class A		24,309		925
Kroger Co. (The)		15,300		364
Lorillard, Inc. (Ñ)		1,000		131
Mead Johnson Nutrition Co. Class A		2,722		212
PepsiCo, Inc.		22,338		1,406


IAM SHARES Fund		25

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Philip Morris International, Inc.		29,085		2,429
Procter & Gamble Co. (The)		41,621		2,810
Rite Aid Corp. (Æ)(Ñ)		25,600		39
Safeway, Inc. (Ñ)		11,100		238
Sara Lee Corp.		17,430		353
SUPERVALU, Inc. (Ñ)		5,900		38
Sysco Corp. (Ñ)		10,400		306
TreeHouse Foods, Inc. (Æ)(Ñ)		1,600		92
Walgreen Co.		16,300		540

				17,276


Energy - 12.0%
Alpha Natural Resources, Inc. (Æ)		900		17
Anadarko Petroleum Corp.		7,000		589
Apache Corp.		5,400		583
Baker Hughes, Inc.		7,200		362
BP PLC - ADR		2,976		140
Cabot Oil & Gas Corp.		2,000		70
Cameron International Corp. (Æ)		4,400		245
Chesapeake Energy Corp. (Ñ)		5,200		130
Chevron Corp.		29,829		3,255
ConocoPhillips		23,777		1,820
Consol Energy, Inc.		1,100		39
Devon Energy Corp.		7,700		565
El Paso Corp.		10,300		286
EOG Resources, Inc.		3,200		364
Exxon Mobil Corp.		74,780		6,468
Halliburton Co.		18,160		665
Hess Corp.		6,700		435
Lufkin Industries, Inc. (Ñ)		1,400		112
Marathon Oil Corp.		8,200		278
Marathon Petroleum Corp.		4,100		170
National Oilwell Varco, Inc.		4,400		363
Newfield Exploration Co. (Æ)		1,800		65
Noble Energy, Inc.		200		20
Occidental Petroleum Corp.		9,500		992
Peabody Energy Corp.		700		24
Pioneer Natural Resources Co.		600		66
Range Resources Corp.		1,600		102
Schlumberger, Ltd.		21,882		1,698
Southwestern Energy Co. (Æ)		5,700		188
Spectra Energy Corp.		9,498		298
Valero Energy Corp.		8,200		201
Williams Cos., Inc. (The)		8,400		251
WPX Energy, Inc. (Æ)		2,800		51

				20,912


Financials - 12.6%
Aegon NV (Æ)		8,014		42
Aflac, Inc.		7,900		373
Allstate Corp. (The)		8,800		277
American Express Co.		19,300		1,021
American Financial Group, Inc.		15,521		581
American International Group, Inc. (Æ)		1,703		50
American Tower Corp. Class A (ö)		900		56
Ameriprise Financial, Inc.		3,340		186
Aon Corp.		5,900		276
AvalonBay Communities, Inc. (Ñ)(ö)		300		39
Bank of America Corp.		130,632		1,041
Bank of New York Mellon Corp. (The)		15,898		352
BB&T Corp.		7,500		219
Berkshire Hathaway, Inc. Class B (Æ)		19,600		1,538
BlackRock, Inc. Class A		400		80
Capital One Financial Corp.		6,661		337
Charles Schwab Corp. (The)		13,300		185
Chubb Corp. (The)		2,800		190
Citigroup, Inc.		43,510		1,450
CME Group, Inc. Class A		1,200		347
Comerica, Inc. (Ñ)		200		6
Discover Financial Services		6,550		197
E*Trade Financial Corp. (Æ)		1,170		11
Equity Residential (ö)		1,200		68
Fifth Third Bancorp		6,400		87
Franklin Resources, Inc.		2,000		236
Genworth Financial, Inc. Class A (Æ)		1,400		13
Goldman Sachs Group, Inc. (The)		6,900		794
Hartford Financial Services Group, Inc.		3,200		66
HCP, Inc. (ö)		400		16
Host Hotels & Resorts, Inc. (ö)		28,417		448
HSBC Holdings PLC - ADR		9,417		418
Hudson City Bancorp, Inc. (Ñ)		7,600		52
IntercontinentalExchange, Inc. (Æ)		1,400		193
Janus Capital Group, Inc. (Ñ)		14,987		132
JPMorgan Chase & Co.		52,034		2,042
KeyCorp		6,500		53
M&T Bank Corp. (Ñ)		1,200		98
Marsh & McLennan Cos., Inc.		9,000		281
MetLife, Inc.		11,099		428
Moody’s Corp.		4,000		154
Morgan Stanley		17,500		324
Northern Trust Corp.		4,200		187
NYSE Euronext		600		18
People’s United Financial, Inc. (Ñ)		8,200		103
Plum Creek Timber Co., Inc. (Ñ)(ö)		2,400		94
PNC Financial Services Group, Inc.		5,450		324
Potlatch Corp. (Ñ)(ö)		7,700		237
Principal Financial Group, Inc.		2,600		72
Progressive Corp. (The)		9,600		206
ProLogis, Inc. (ö)		2,928		99
Prudential Financial, Inc.		7,600		465
Public Storage (ö)		1,800		241
Regions Financial Corp.		9,142		53


26		IAM SHARES Fund

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Simon Property Group, Inc. (ö)		3,271		443
SLM Corp.		6,300		99
SunTrust Banks, Inc.		3,500		80
T Rowe Price Group, Inc.		1,000		62
Travelers Cos., Inc. (The)		14,483		840
US Bancorp		23,612		694
Ventas, Inc. (ö)		3,933		220
Vornado Realty Trust (ö)		2,144		175
Wells Fargo & Co.		65,935		2,063
Weyerhaeuser Co. (ö)		14,290		299

				21,831


Health Care - 11.0%
Abbott Laboratories		21,900		1,240
Aetna, Inc.		7,900		369
Agilent Technologies, Inc.		4,142		181
Allergan, Inc.		4,300		385
Allied Healthcare Products (Æ)(Ñ)		1,100		4
Amgen, Inc.		7,961		541
Baxter International, Inc.		11,136		647
Biogen Idec, Inc. (Æ)		4,500		524
Boston Scientific Corp. (Æ)		17,863		111
Bristol-Myers Squibb Co.		21,688		698
Cardinal Health, Inc.		4,000		166
CareFusion Corp. (Æ)		2,000		52
Celgene Corp. (Æ)		7,300		535
Cigna Corp.		4,500		198
Coventry Health Care, Inc. (Æ)		2,100		69
Edwards Lifesciences Corp. (Æ)		4,466		327
Eli Lilly & Co.		13,700		537
Express Scripts, Inc. Class A (Æ)(Ñ)		9,200		491
Forest Laboratories, Inc. (Æ)		4,800		156
Gilead Sciences, Inc. (Æ)		13,400		610
Hospira, Inc. (Æ)(Ñ)		800		28
Humana, Inc.		2,200		192
Johnson & Johnson		38,000		2,473
Life Technologies Corp. (Æ)		4,212		199
McKesson Corp.		4,600		384
Medco Health Solutions, Inc. (Æ)		8,624		583
Medtronic, Inc.		16,900		644
Merck & Co., Inc.		43,515		1,661
PerkinElmer, Inc.		4,700		127
Pfizer, Inc.		105,773		2,232
St. Jude Medical, Inc.		5,200		219
STERIS Corp. (Ñ)		3,191		100
Stryker Corp.		3,400		182
Thermo Fisher Scientific, Inc. (Æ)		7,600		430
UnitedHealth Group, Inc.		17,700		987
WellPoint, Inc.		8,100		532
Zimmer Holdings, Inc.		3,370		205

				19,019


Industrials - 12.1%
3M Co.		11,300		990
Actuant Corp. Class A (Ñ)		5,600		158
Alaska Air Group, Inc. (Æ)(Ñ)		800		55
Ametek, Inc.		4,800		228
Arkansas Best Corp.		1,600		28
Avery Dennison Corp. (Ñ)		1,900		58
Avis Budget Group, Inc. (Æ)(Ñ)		1,800		23
AZZ, Inc. (Ñ)		800		40
Boeing Co. (The)		10,400		780
Caterpillar, Inc.		9,821		1,122
CSX Corp.		24,900		523
Cummins, Inc.		3,700		446
Danaher Corp.		11,600		613
Deere & Co.		7,200		597
Dover Corp.		5,300		339
Eaton Corp.		7,600		397
Emerson Electric Co.		12,600		634
FedEx Corp.		3,100		279
Gardner Denver, Inc. (Ñ)		800		55
General Dynamics Corp.		5,710		418
General Electric Co.		145,321		2,768
Goodrich Corp.		2,200		277
Hexcel Corp. (Æ)(Ñ)		2,600		66
HNI Corp. (Ñ)		900		23
Honeywell International, Inc.		11,462		683
Huntington Ingalls Industries, Inc. (Æ)		799		29
Illinois Tool Works, Inc.		8,608		479
Jacobs Engineering Group, Inc. (Æ)		2,800		129
Kansas City Southern (Æ)		2,550		177
Koninklijke Philips Electronics NV		1,161		24
L-3 Communications Holdings, Inc.		2,500		176
Lockheed Martin Corp. (Ñ)		4,819		426
Manitowoc Co., Inc. (The) (Ñ)		2,300		36
Manpower, Inc.		2,100		90
Masco Corp.		14,300		170
Norfolk Southern Corp.		6,700		462
Northrop Grumman Corp. (Ñ)		4,796		287
PACCAR, Inc.		6,675		307
Parker Hannifin Corp.		3,000		269
Precision Castparts Corp.		2,500		419
Raytheon Co.		5,800		293
Republic Services, Inc. Class A		4,680		140
Rockwell Automation, Inc.		3,900		312
Rockwell Collins, Inc. (Ñ)		2,100		125
RR Donnelley & Sons Co. (Ñ)		5,700		79
Ryder System, Inc.		4,800		256


IAM SHARES Fund		27

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Siemens AG - ADR		200		20
Snap-on, Inc.		1,600		98
Southwest Airlines Co.		12,825		115
Stanley Black & Decker, Inc.		4,715		362
Tecumseh Products Co. Class A (Æ)(Ñ)		1,600		7
Terex Corp. (Æ)(Ñ)		1,800		46
Textron, Inc.		5,600		154
Toro Co. (The)		2,300		156
Union Pacific Corp.		8,500		937
United Continental Holdings, Inc. (Æ)(Ñ)		734		15
United Parcel Service, Inc. Class B		15,714		1,208
United Technologies Corp.		13,500		1,132
US Airways Group, Inc. (Æ)(Ñ)		5,000		37
Valmont Industries, Inc.		300		33
Waste Management, Inc. (Ñ)		10,218		357
Watts Water Technologies, Inc. Class A (Ñ)		400		16

				20,978


Information Technology - 18.6%
Accenture PLC Class A		700		42
Adobe Systems, Inc. (Æ)		8,200		270
Advanced Micro Devices, Inc. (Æ)(Ñ)		8,100		60
Amphenol Corp. Class A		5,200		291
Analog Devices, Inc.		6,800		267
Apple, Inc. (Æ)		12,400		6,726
Applied Materials, Inc.		20,600		252
Autodesk, Inc. (Æ)		3,000		114
Automatic Data Processing, Inc.		6,900		375
Broadcom Corp. Class A (Æ)		5,850		217
CA, Inc.		4,900		132
Cisco Systems, Inc.		79,400		1,578
Computer Sciences Corp.		4,845		154
Corning, Inc.		23,600		308
Dell, Inc. (Æ)		26,300		455
Diebold, Inc.		2,300		90
eBay, Inc. (Æ)		16,100		575
Electronic Arts, Inc. (Æ)		6,400		105
EMC Corp. (Æ)		30,000		831
Energy Conversion Devices, Inc. (Æ)		36,400		4
F5 Networks, Inc. (Æ)		1,100		137
Google, Inc. Class A (Æ)		3,300		2,040
Hewlett-Packard Co.		34,932		884
Intel Corp.		75,400		2,027
International Business Machines Corp.		19,100		3,758
Juniper Networks, Inc. (Æ)		3,800		86
KLA-Tencor Corp. (Ñ)		2,500		121
Mastercard, Inc. Class A		1,400		588
Micron Technology, Inc. (Æ)		13,500		115
Microsoft Corp.		104,600		3,320
Motorola Mobility Holdings, Inc. (Æ)(Ñ)		4,487		178
Motorola Solutions, Inc.		5,128		255
NetApp, Inc. (Æ)		4,900		211
NVIDIA Corp. (Æ)		1,900		29
Oracle Corp.		57,949		1,696
Paychex, Inc. (Ñ)		4,300		135
QUALCOMM, Inc.		21,200		1,318
Quantum Corp. (Æ)(Ñ)		14,000		37
Salesforce.com, Inc. (Æ)(Ñ)		300		43
Seagate Technology PLC		2,200		58
Symantec Corp. (Æ)		16,445		293
Texas Instruments, Inc.		20,800		694
Total System Services, Inc.		2,032		44
Visa, Inc. Class A		4,600		535
Western Union Co. (The)		8,736		153
Xerox Corp.		22,700		187
Xilinx, Inc.		7,000		258
Yahoo!, Inc. (Æ)		20,700		307

				32,353


Materials - 3.3%
Air Products & Chemicals, Inc.		4,800		433
AK Steel Holding Corp. (Ñ)		5,800		46
Alcoa, Inc.		20,300		206
Allegheny Technologies, Inc.		3,300		145
AngloGold Ashanti, Ltd. - ADR		830		35
Ashland, Inc. (Ñ)		1,204		77
Ball Corp.		3,400		136
Bemis Co., Inc. (Ñ)		2,800		88
CF Industries Holdings, Inc.		400		74
Chemtura Corp. (Æ)(Ñ)		6		—	±
Cliffs Natural Resources, Inc.		600		38
Crown Holdings, Inc. (Æ)		3,400		126
Dow Chemical Co. (The)		16,788		563
Ecolab, Inc.		3,800		228
EI du Pont de Nemours & Co.		8,700		442
FMC Corp.		1,300		129
Freeport-McMoRan Copper & Gold, Inc.		9,552		407
International Paper Co.		11,073		389
Martin Marietta Materials, Inc. (Ñ)		1,500		129
Materion Corp. (Æ)(Ñ)		1,000		29
MeadWestvaco Corp.		3,000		91
Monsanto Co.		5,100		395
Mosaic Co. (The)		1,100		63
Newmont Mining Corp.		5,700		339
Owens-Illinois, Inc. (Æ)		2,900		69
PPG Industries, Inc.		2,900		265
Schnitzer Steel Industries, Inc. Class A (Ñ)		1,100		50
Sherwin-Williams Co. (The)		3,500		361


28		IAM SHARES Fund

SSgA
IAM SHARES Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$
Sigma-Aldrich Corp. (Ñ)		2,300			165
Vulcan Materials Co.		3,600			160

					5,678


Telecommunication Services - 2.6%
AT&T, Inc.		81,781			2,502
CenturyLink, Inc. (Ñ)		8,265			333
Frontier Communications Corp. (Ñ)		9,906			45
MetroPCS Communications, Inc. (Æ)		1,800			19
Sprint Nextel Corp. (Æ)		39,389			97
Verizon Communications, Inc.		41,272			1,573

					4,569


Utilities - 2.9%
AES Corp. (The) (Æ)		11,000			149
Ameren Corp.		3,000			96
American Electric Power Co., Inc.		5,300			199
Consolidated Edison, Inc. (Ñ)		4,100			238
Constellation Energy Group, Inc.		3,000			109
Dominion Resources, Inc. (Ñ)		10,600	��		535
Duke Energy Corp. (Ñ)		19,496			408
Edison International		5,500			230
Entergy Corp.		2,900			193
Exelon Corp. (Ñ)		10,800			422
FirstEnergy Corp. (Ñ)		4,200			186
NextEra Energy, Inc.		6,500			387
PG&E Corp.		5,800			242
PPL Corp. (Ñ)		6,400			183
Progress Energy, Inc.		600			32
Public Service Enterprise Group, Inc.		8,400			258
Sempra Energy		4,100			243
Southern Co.		14,700			650
Wisconsin Energy Corp.		4,600			157
Xcel Energy, Inc.		4,000			106

					5,023


Total Common Stocks (cost $135,978)					168,650


Short-Term Investments - 2.6%
SSgA Prime Money Market Fund		4,200,710			4,201
United States Treasury Bills
0.025% due 06/14/12 (§)(ÿ)		323			323


Total Short-Term Investments (cost $4,524)					4,524


Other Securities - 3.0%
State Street Navigator Securities Lending Prime Portfolio (X)		5,214,824			5,215


Total Other Securities (cost $5,215)					5,215


Total Investments - 102.8% (identified cost $145,717)					178,389

Other Assets and Liabilities, Net - (2.8%)					(4,881	)


Net Assets - 100.0%					173,508

Amounts in thousands (except contract amounts)

Unrealized

Appreciation

Number of

Notional

Expiration

(Depreciation)

Futures Contracts

Contracts

Amount

Date

Long Positions

S&P 500 Index Futures (CME)

USD

4,434

/12

385

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

385

See accompanying notes which are an integral part of the financial statements.


IAM SHARES Fund		29

SSgA
IAM SHARES Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	21,011	$	—	$	—	$	21,011		12.1
Consumer Staples		17,276		—		—		17,276		10.0
Energy		20,912		—		—		20,912		12.0
Financials		21,831		—		—		21,831		12.6
Health Care		19,019		—		—		19,019		11.0
Industrials		20,978		—		—		20,978		12.1
Information Technology		32,353		—		—		32,353		18.6
Materials		5,678		—		—		5,678		3.3
Telecommunication Services		4,569		—		—		4,569		2.6
Utilities		5,023		—		—		5,023		2.9
Short-Term Investments		4,201		323		—		4,524		2.6
Other Securities		—		5,215		—		5,215		3.0

Total Investments		172,851		5,538		—		178,389		102.8

Other Assets and Liabilities, Net										(2.8	)

										100.0

Other Financial Instruments
Futures Contracts		385		—		—		385		0.2

Total Other Financial Instruments*	$	385	$	—	$	—	$	385


*		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


30		IAM SHARES Fund

SSgA
Enhanced Small Cap Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,138.66	$	1,021.13
Expenses Paid During Period*	$	3.99	$	3.77


*	Expenses are equal to the Fund’s annualized expense ratio of 0.75% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Enhanced Small Cap Fund		31

This page has been intentionally left blank.

SSgA
Enhanced Small Cap Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 100.4%

Consumer Discretionary - 14.1%
Aeropostale, Inc. (Æ)		196		4
American Axle & Manufacturing Holdings, Inc. (Æ)		9,393		107
American Greetings Corp. Class A		3,574		54
Ameristar Casinos, Inc.		547		11
Arctic Cat, Inc. (Æ)		199		7
Ascena Retail Group, Inc. (Æ)		588		23
Bebe Stores, Inc.		492		4
Belo Corp. Class A		2,618		19
Benihana, Inc. Class A		550		6
Biglari Holdings, Inc. (Æ)		272		112
Blyth, Inc.		532		34
Bob Evans Farms, Inc.		1,122		41
Body Central Corp. (Æ)		1,781		50
Brunswick Corp.		156		4
Build-A-Bear Workshop, Inc. Class A (Æ)		3,845		21
Cato Corp. (The) Class A		2,682		73
CEC Entertainment, Inc.		705		27
Charming Shoppes, Inc. (Æ)		2,261		13
Childrens Place Retail Stores, Inc. (The) (Æ)		521		26
Cinemark Holdings, Inc.		4,491		94
Coinstar, Inc. (Æ)		568		33
Cooper Tire & Rubber Co.		290		5
Crocs, Inc. (Æ)		2,254		44
CSS Industries, Inc.		468		9
Dana Holding Corp.		7,166		115
Denny’s Corp. (Æ)		26,119		108
Destination Maternity Corp.		907		16
Digital Generation, Inc. (Æ)		1,518		15
Domino’s Pizza, Inc. (Æ)		1,252		48
Einstein Noah Restaurant Group, Inc.		967		14
EW Scripps Co. Class A (Æ)		3,411		32
Express, Inc. (Æ)		5,699		136
Finish Line, Inc. (The) Class A		5,161		119
Genesco, Inc. (Æ)		963		66
Gerber Scientific, Inc. (Æ)		600		—	±
Grand Canyon Education, Inc. (Æ)		831		14
hhgregg, Inc. (Æ)		787		9
Hillenbrand, Inc.		5,721		131
HOT Topic, Inc.		6,756		60
HSN, Inc.		1,764		66
Iconix Brand Group, Inc. (Æ)		5,090		92
Interval Leisure Group, Inc. (Æ)		2,243		30
Jakks Pacific, Inc.		3,601		56
Jones Group, Inc. (The)		1,087		11
Journal Communications, Inc. Class A (Æ)		1,100		5
Knology, Inc. (Æ)		1,855		33
Libbey, Inc. (Æ)		1,413		18
Lifetime Brands, Inc.		770		9
Live Nation Entertainment, Inc. (Æ)		1,123		10
Liz Claiborne, Inc. (Æ)		838		8
Matthews International Corp. Class A		1,594		49
Men’s Wearhouse, Inc. (The)		2,653		103
Modine Manufacturing Co. (Æ)		1,619		15
Multimedia Games Holding Co., Inc. (Æ)		3,453		35
National CineMedia, Inc.		262		4
Nexstar Broadcasting Group, Inc. Class A (Æ)		416		3
Nutrisystem, Inc.		2,587		29
O’Charleys, Inc. (Æ)		611		6
Office Depot, Inc. (Æ)		5,276		17
Oxford Industries, Inc.		238		12
Papa John’s International, Inc. (Æ)		3,148		117
PF Chang’s China Bistro, Inc.		2,837		109
Pinnacle Entertainment, Inc. (Æ)		5,124		56
Rent-A-Center, Inc. Class A		4,983		177
Scholastic Corp.		300		9
Select Comfort Corp. (Æ)		293		9
Shuffle Master, Inc. (Æ)		2,409		35
Sinclair Broadcast Group, Inc. Class A		8,937		102
Six Flags Entertainment Corp.		882		40
Sonic Corp. (Æ)		4,602		38
Sotheby’s Class A		2,875		113
Stage Stores, Inc.		6,299		94
Standard Motor Products, Inc.		2,379		54
Stewart Enterprises, Inc. Class A		10,862		68
Superior Industries International, Inc.		200		4
Systemax, Inc. (Æ)		1,449		28
Town Sports International Holdings, Inc. (Æ)		7,159		74
Valassis Communications, Inc. (Æ)		5,623		140
Warnaco Group, Inc. (The) (Æ)		2,508		147
Wet Seal, Inc. (The) Class A (Æ)		26,238		92
Wolverine World Wide, Inc.		981		37

				3,858


Consumer Staples - 3.1%
B&G Foods, Inc. Class A		2,030		47
Casey’s General Stores, Inc.		472		24
Fresh Del Monte Produce, Inc.		5,318		119
J&J Snack Foods Corp.		447		22
Medifast, Inc. (Æ)		1,100		18
Nash Finch Co.		2,144		57
Nu Skin Enterprises, Inc. Class A		1,569		91
Nutraceutical International Corp. (Æ)		200		3
Omega Protein Corp. (Æ)		1,379		11


Enhanced Small Cap Fund		33

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Pantry, Inc. (The) (Æ)		1,036		13
Prestige Brands Holdings, Inc. (Æ)		4,393		73
Revlon, Inc. Class A (Æ)		2,108		32
Rite Aid Corp. (Æ)		13,300		21
Ruddick Corp.		1,387		57
Smart Balance, Inc. (Æ)		4,858		29
Spartan Stores, Inc.		1,234		22
Susser Holdings Corp. (Æ)		4,351		110
Universal Corp.		1,758		81
Village Super Market, Inc. Class A		146		4
Weis Markets, Inc.		200		9

				843


Energy - 6.7%
Alon USA Energy, Inc.		673		6
ATP Oil & Gas Corp. (Æ)		607		5
Basic Energy Services, Inc. (Æ)		1,268		25
Berry Petroleum Co. Class A		620		33
Bill Barrett Corp. (Æ)		2,890		84
Bristow Group, Inc.		338		16
Cal Dive International, Inc. (Æ)		10,099		29
Callon Petroleum Co. (Æ)		2,300		16
Clayton Williams Energy, Inc. (Æ)		429		38
Contango Oil & Gas Co. (Æ)		1,844		117
Crosstex Energy, Inc.		3,672		50
CVR Energy, Inc. (Æ)		2,060		56
Delek US Holdings, Inc.		3,881		51
Energy Partners, Ltd. (Æ)		7,976		136
Geokinetics, Inc. (Æ)		1,400		3
Global Geophysical Services, Inc. (Æ)		3,257		35
Goodrich Petroleum Corp. (Æ)		290		5
Helix Energy Solutions Group, Inc. (Æ)		5,175		100
ION Geophysical Corp. (Æ)		1,897		14
Matrix Service Co. (Æ)		535		7
Mitcham Industries, Inc. (Æ)		2,553		60
Natural Gas Services Group, Inc. (Æ)		200		3
Newpark Resources, Inc. (Æ)		7,457		59
Parker Drilling Co. (Æ)		21,473		136
Patriot Coal Corp. (Æ)		1,397		10
Petroquest Energy, Inc. (Æ)		3,796		23
Pioneer Drilling Co. (Æ)		5,939		59
REX American Resources Corp. (Æ)		3,117		96
Stone Energy Corp. (Æ)		4,688		150
Tesco Corp. (Æ)		700		11
Tetra Technologies, Inc. (Æ)		7,860		71
Union Drilling, Inc. (Æ)		1,759		12
Vaalco Energy, Inc. (Æ)		7,471		59
W&T Offshore, Inc.		5,456		138
Warren Resources, Inc. (Æ)		4,307		17
Western Refining, Inc.		6,384		116

				1,846


Financials - 21.6%
1st Source Corp.		2,377		58
Advance America Cash Advance Centers, Inc.		2,692		28
Alexander’s, Inc. (ö)		51		19
Alliance Financial Corp.		100		3
Alterra Capital Holdings, Ltd.		127		3
American Assets Trust, Inc. (ö)		2,675		58
American Equity Investment Life Holding Co.		5,464		66
Ameris Bancorp (Æ)		2,426		28
Amtrust Financial Services, Inc.		2,361		64
Anworth Mortgage Asset Corp. (ö)		17,961		117
Apollo Commercial Real Estate Finance, Inc. (ö)		1,553		23
Apollo Investment Corp.		3,537		25
Argo Group International Holdings, Ltd.		1,728		52
Arlington Asset Investment Corp. Class A		466		11
ARMOUR Residential REIT, Inc. (ö)		20,189		143
Artio Global Investors, Inc. Class A		7,433		36
Associated Estates Realty Corp. (ö)		4,306		64
Bancfirst Corp.		190		8
Banco Latinoamericano de Comercio Exterior SA Class E		4,217		82
Bancorp, Inc. (Æ)		1,631		14
Bank of Marin Bancorp		53		2
Banner Corp.		1,355		28
BBCN Bancorp, Inc. (Æ)		5,833		60
Berkshire Hills Bancorp, Inc.		619		14
BGC Partners, Inc. Class A		1,916		13
BlackRock Kelso Capital Corp.		477		5
CapLease, Inc. (ö)		6,137		25
Capstead Mortgage Corp. (ö)		8,105		108
Cardinal Financial Corp.		965		10
Cathay General Bancorp		2,342		38
Chatham Lodging Trust (ö)		200		2
Chemical Financial Corp.		742		16
City Holding Co.		1,200		41
Clifton Savings Bancorp, Inc.		900		9
CNO Financial Group, Inc. (Æ)		6,325		47
Colonial Properties Trust (ö)		1,165		24
Colony Financial, Inc. (ö)		2,448		41
Community Bank System, Inc.		965		26
Community Trust Bancorp, Inc.		806		25
Compass Diversified Holdings		2,142		32
Coresite Realty Corp. (ö)		4,597		98
Cousins Properties, Inc. (ö)		7,964		59
Credit Acceptance Corp. (Æ)		686		66
CreXus Investment Corp. (ö)		12,637		141
CYS Investments, Inc. (ö)		1,100		15


34		Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Diamond Hill Investment Group, Inc.		120		9
Dime Community Bancshares, Inc.		1,733		24
Doral Financial Corp. (Æ)		8,240		11
Dynex Capital, Inc. (ö)		2,286		22
Eagle Bancorp, Inc. (Æ)		280		4
Education Realty Trust, Inc. (ö)		5,546		57
Enterprise Financial Services Corp.		520		6
Ezcorp, Inc. Class A (Æ)		3,683		116
FBR & Co. (Æ)		2,700		7
FelCor Lodging Trust, Inc. (Æ)(ö)		6,545		25
Fifth Street Finance Corp.		410		4
First American Financial Corp.		2,768		43
First Bancorp		1,000		10
First Commonwealth Financial Corp.		12,195		73
First Community Bancshares, Inc.		1,500		19
First Financial Corp.		520		17
First Midwest Bancorp, Inc.		8,859		102
First of Long Island Corp. (The)		200		5
First Potomac Realty Trust (ö)		3,288		43
Flagstone Reinsurance Holdings SA		4,049		32
Flushing Financial Corp.		1,375		18
FNB Corp.		6,283		74
GFI Group, Inc.		5,528		21
Gladstone Capital Corp.		700		6
Gladstone Investment Corp.		700		5
Gleacher & Co., Inc. (Æ)		2,861		4
Glimcher Realty Trust (ö)		1,717		17
Hampton Roads Bankshares, Inc. (Æ)		800		2
Hanmi Financial Corp. (Æ)		439		4
Hatteras Financial Corp. (ö)		114		3
Hercules Technology Growth Capital, Inc.		4,044		42
Hersha Hospitality Trust Class A (ö)		11,088		56
Home Bancshares, Inc.		871		22
Home Federal Bancorp, Inc.		400		4
International Bancshares Corp.		2,862		54
Invesco Mortgage Capital, Inc. (ö)		6,250		107
Investment Technology Group, Inc. (Æ)		8,684		100
Investors Bancorp, Inc. (Æ)		1,900		28
Kearny Financial Corp.		426		4
Kite Realty Group Trust (ö)		1,100		5
Kohlberg Capital Corp.		1,500		10
Lakeland Bancorp, Inc.		267		2
Lakeland Financial Corp.		700		18
Lexington Realty Trust (ö)		11,544		100
Maiden Holdings, Ltd.		8,566		74
MainSource Financial Group, Inc.		1,777		18
Manning & Napier, Inc. Class A (Æ)		1,095		14
MB Financial, Inc.		900		18
MCG Capital Corp.		14,321		69
Meadowbrook Insurance Group, Inc.		10,363		99
Medley Capital Corp.		621		7
Metro Bancorp, Inc. (Æ)		1,190		13
MFA Financial, Inc. (ö)		21,434		156
MGIC Investment Corp. (Æ)		804		4
Montpelier Re Holdings, Ltd.		5,447		94
MPG Office Trust, Inc. (Æ) (ö)		940		2
National Financial Partners Corp. (Æ)		2,214		34
National Health Investors, Inc. (ö)		805		38
National Penn Bancshares, Inc.		2,880		25
Nelnet, Inc. Class A		2,466		65
Newcastle Investment Corp. (ö)		13,429		73
NGP Capital Resources Co.		1,792		13
NorthStar Realty Finance Corp. (ö)		1,600		9
Northwest Bancshares, Inc.		7,412		94
OceanFirst Financial Corp.		420		6
Ocwen Financial Corp. (Æ)		4,498		72
Old National Bancorp		2,325		28
Oriental Financial Group, Inc.		4,770		56
PennantPark Investment Corp.		3,277		36
PennyMac Mortgage Investment Trust (ö)		2,580		46
Peoples Bancorp, Inc.		730		12
PHH Corp. (Æ)		500		7
Phoenix Cos., Inc. (The) (Æ)		3,631		7
Piper Jaffray Cos. (Æ)		974		24
Platinum Underwriters Holdings, Ltd.		3,192		113
Primerica, Inc.		947		24
PrivateBancorp, Inc. Class A		1,757		25
ProAssurance Corp.		833		73
Prospect Capital Corp.		630		7
Prosperity Bancshares, Inc.		2,471		108
Provident Financial Services, Inc.		536		7
Provident New York Bancorp		325		3
Republic Bancorp, Inc. Class A		1,332		35
Resource Capital Corp. (ö)		1,900		11
RLJ Lodging Trust (ö)		2,188		38
Safeguard Scientifics, Inc. (Æ)		176		3
Saul Centers, Inc. (ö)		434		16
SeaBright Holdings, Inc.		1,052		9
Solar Capital, Ltd.		904		21
Southside Bancshares, Inc.		801		17
Starwood Property Trust, Inc. (ö)		4,246		84
StellarOne Corp.		300		3
Sterling Financial Corp. (Æ)		155		3
Strategic Hotels & Resorts, Inc. (Æ)(ö)		24,357		152
Suffolk Bancorp (Æ)		1,025		12
Summit Hotel Properties, Inc. (ö)		2,200		20
Sun Communities, Inc. (ö)		1,667		69
Susquehanna Bancshares, Inc.		12,831		119
SWS Group, Inc. (Æ)		4,917		27
Symetra Financial Corp.		2,125		21


Enhanced Small Cap Fund		35

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Texas Capital Bancshares, Inc. (Æ)		109		4
THL Credit, Inc.		207		3
Trustmark Corp.		454		11
Two Harbors Investment Corp. (ö)		16,786		173
UMB Financial Corp.		279		12
Umpqua Holdings Corp.		9,659		119
United Financial Bancorp, Inc.		537		8
Urstadt Biddle Properties, Inc. Class A (ö)		1,200		23
Walker & Dunlop, Inc. (Æ)		250		3
Walter Investment Management Corp.		962		20
WesBanco, Inc.		1,585		31
Western Alliance Bancorp (Æ)		3,630		30
Westwood Holdings Group, Inc.		320		12
Winthrop Realty Trust (ö)		400		5
Wintrust Financial Corp.		100		3
World Acceptance Corp. (Æ)		640		41

				5,913


Health Care - 12.1%
Achillion Pharmaceuticals, Inc. (Æ)		900		9
Acorda Therapeutics, Inc. (Æ)		2,267		59
Affymetrix, Inc. (Æ)		7,022		29
Alkermes PLC (Æ)		2,278		40
Alliance HealthCare Services, Inc. (Æ)		1,289		2
Amicus Therapeutics, Inc. (Æ)		800		5
AngioDynamics, Inc. (Æ)		1,664		22
Antares Pharma, Inc. (Æ)		1,800		5
Ariad Pharmaceuticals, Inc. (Æ)		3,950		57
Arqule, Inc. (Æ)		3,324		24
Array Biopharma, Inc. (Æ)		2,400		7
Arthrocare Corp. (Æ)		1,289		34
Assisted Living Concepts, Inc. Class A		1,581		25
Astex Pharmaceuticals (Æ)		11,941		22
athenahealth, Inc. (Æ)		100		7
BioScrip, Inc. (Æ)		1,375		9
Cambrex Corp. (Æ)		7,119		47
Cantel Medical Corp.		3,888		79
Centene Corp. (Æ)		476		23
Cepheid, Inc. (Æ)		543		22
Computer Programs & Systems, Inc.		171		10
CONMED Corp. (Æ)		4,805		143
Cornerstone Therapeutics, Inc. (Æ)		1,400		8
Corvel Corp. (Æ)		235		11
CryoLife, Inc. (Æ)		8,008		44
Cubist Pharmaceuticals, Inc. (Æ)		2,811		120
Curis, Inc. (Æ)		4,076		18
Cynosure, Inc. Class A (Æ)		1,650		29
Depomed, Inc. (Æ)		15,340		96
Dusa Pharmaceuticals, Inc. (Æ)		3,586		17
Dyax Corp. (Æ)		9,518		14
DynaVox, Inc. Class A (Æ)		2,356		7
Emergent Biosolutions, Inc. (Æ)		349		5
eResearchTechnology, Inc. (Æ)		1,320		8
Five Star Quality Care, Inc. (Æ)		961		3
Gentiva Health Services, Inc. (Æ)		200		2
GTx, Inc. (Æ)		6,013		21
Haemonetics Corp. (Æ)		484		32
Halozyme Therapeutics, Inc. (Æ)		3,589		41
Harvard Bioscience, Inc. (Æ)		306		1
HealthSouth Corp. (Æ)		6,026		123
Hi-Tech Pharmacal Co., Inc. (Æ)		100		4
ICU Medical, Inc. (Æ)		106		5
Immunomedics, Inc. (Æ)		1,087		4
Impax Laboratories, Inc. (Æ)		1,464		34
Incyte Corp., Ltd. (Æ)		3,072		52
Integra LifeSciences Holdings Corp. (Æ)		340		11
Invacare Corp.		3,870		64
Jazz Pharmaceuticals PLC (Æ)		735		39
Kensey Nash Corp.		843		19
Ligand Pharmaceuticals, Inc. Class B (Æ)		2,014		30
Magellan Health Services, Inc. (Æ)		2,494		118
Medicis Pharmaceutical Corp. Class A		531		19
Medidata Solutions, Inc. (Æ)		700		14
Medivation, Inc. (Æ)		69		5
Medtox Scientific, Inc. (Æ)		698		11
Metropolitan Health Networks, Inc. (Æ)		4,232		35
Momenta Pharmaceuticals, Inc. (Æ)		6,533		96
Nabi Biopharmaceuticals (Æ)		12,830		24
National Healthcare Corp.		230		10
Neurocrine Biosciences, Inc. (Æ)		6,857		54
NxStage Medical, Inc. (Æ)		544		11
Obagi Medical Products, Inc. (Æ)		2,116		24
Omnicell, Inc. (Æ)		341		5
Orexigen Therapeutics, Inc. (Æ)		12,531		49
Orthofix International NV (Æ)		1,563		61
Par Pharmaceutical Cos., Inc. (Æ)		3,923		146
PDL BioPharma, Inc.		22,191		142
PharMerica Corp. (Æ)		2,110		26
Progenics Pharmaceuticals, Inc. (Æ)		806		8
Providence Service Corp. (The) (Æ)		1,487		22
PSS World Medical, Inc. (Æ)		4,395		106
Questcor Pharmaceuticals, Inc. (Æ)		568		22
RadNet, Inc. (Æ)		4,440		13
RTI Biologics, Inc. (Æ)		16,633		62
Santarus, Inc. (Æ)		8,021		36
Sciclone Pharmaceuticals, Inc. (Æ)		61		—	±
Spectranetics Corp. (Æ)		2,890		22
Spectrum Pharmaceuticals, Inc. (Æ)		441		6
SurModics, Inc. (Æ)		1,242		18
Symmetry Medical, Inc. (Æ)		1,563		11


36		Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Team Health Holdings, Inc. (Æ)		2,110		46
Triple-S Management Corp. Class B (Æ)		3,840		91
Universal American Corp.		2,778		32
US Physical Therapy, Inc.		1,200		23
Vanda Pharmaceuticals, Inc. (Æ)		1,407		7
Vical, Inc. (Æ)		5,081		16
Viropharma, Inc. (Æ)		5,361		172
WellCare Health Plans, Inc. (Æ)		2,543		173
Wright Medical Group, Inc. (Æ)		189		3
Zoll Medical Corp. (Æ)		276		20

				3,301


Industrials - 16.3%
AAR Corp.		200		4
ACCO Brands Corp. (Æ)		4,196		50
Actuant Corp. Class A		2,724		77
Air Transport Services Group, Inc. (Æ)		4,091		22
Aircastle, Ltd.		4,226		58
Alamo Group, Inc.		800		21
Alaska Air Group, Inc. (Æ)		497		34
Albany International Corp. Class A		2,048		49
Altra Holdings, Inc. (Æ)		2,156		42
Amerco, Inc.		602		63
Ampco-Pittsburgh Corp.		253		5
AO Smith Corp.		2,111		95
Applied Industrial Technologies, Inc.		1,791		72
Arkansas Best Corp.		843		15
AT Cross Co. Class A (Æ)		700		7
Atlas Air Worldwide Holdings, Inc. (Æ)		899		38
Barrett Business Services, Inc.		1,315		22
Belden, Inc.		4,180		165
Brady Corp. Class A		1,944		62
Brink’s Co. (The)		5,096		129
CBIZ, Inc. (Æ)		2,704		18
Celadon Group, Inc.		6,296		93
Cenveo, Inc. (Æ)		1,898		7
Ceradyne, Inc.		2,731		84
Clarcor, Inc.		3,549		179
Colfax Corp. (Æ)		112		4
Comfort Systems USA, Inc.		3,661		42
Commercial Vehicle Group, Inc. (Æ)		450		5
Consolidated Graphics, Inc. (Æ)		1,393		65
Cubic Corp.		1,257		60
Deluxe Corp.		1,545		38
Dolan Co. (The) (Æ)		1,648		15
Douglas Dynamics, Inc.		1,215		16
DXP Enterprises, Inc. (Æ)		1,307		48
Dycom Industries, Inc. (Æ)		1,599		34
EMCOR Group, Inc.		2,094		58
Encore Capital Group, Inc. (Æ)		120		3
EnerSys (Æ)		3,444		116
Exponent, Inc. (Æ)		478		23
Federal Signal Corp. (Æ)		4,527		21
Franklin Electric Co., Inc.		497		25
GenCorp, Inc. (Æ)		7,990		48
Gibraltar Industries, Inc. (Æ)		1,661		23
GP Strategies Corp. (Æ)		189		3
Great Lakes Dredge & Dock Corp.		6,465		46
Hawaiian Holdings, Inc. (Æ)		3,811		20
Heartland Express, Inc.		3,714		54
Herman Miller, Inc.		257		5
Houston Wire & Cable Co.		183		3
Hurco Cos., Inc. (Æ)		854		20
Huron Consulting Group, Inc. (Æ)		700		27
ICF International, Inc. (Æ)		3,271		85
Insperity, Inc.		746		22
Interline Brands, Inc. (Æ)		4,048		83
Intersections, Inc.		2,484		29
John Bean Technologies Corp.		1,835		32
Kadant, Inc. (Æ)		4,570		100
Knoll, Inc.		2,431		37
Lawson Products, Inc.		71		1
LB Foster Co. Class A		331		10
LMI Aerospace, Inc. (Æ)		1,466		30
Lydall, Inc. (Æ)		1,900		17
Marten Transport, Ltd.		1,911		40
Meritor, Inc. (Æ)		6,165		46
Michael Baker Corp. (Æ)		196		5
Miller Industries, Inc.		1,397		22
Moog, Inc. Class A (Æ)		310		14
Mueller Industries, Inc.		1,444		66
NACCO Industries, Inc. Class A		456		45
Navigant Consulting, Inc. (Æ)		3,098		42
NCI Building Systems, Inc. (Æ)		1,800		22
Old Dominion Freight Line, Inc. (Æ)		550		24
On Assignment, Inc. (Æ)		2,909		40
Orbital Sciences Corp. (Æ)		6,427		90
Pacer International, Inc. (Æ)		3,312		18
Park-Ohio Holdings Corp. (Æ)		997		19
Primoris Services Corp.		4,739		73
Quality Distribution, Inc. (Æ)		1,138		15
Quanex Building Products Corp.		3,318		56
Rollins, Inc.		2,259		46
RPX Corp. (Æ)		1,087		18
Sauer-Danfoss, Inc. (Æ)		2,684		145
Schawk, Inc. Class A		800		9
Spirit Airlines, Inc. (Æ)		6,314		123
Standex International Corp.		743		28
Steelcase, Inc. Class A		4,056		36
Sterling Construction Co., Inc. (Æ)		855		9
Swift Transportation Co. Class A (Æ)		4,725		55
SYKES Enterprises, Inc. (Æ)		8,165		113


Enhanced Small Cap Fund		37

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Taser International, Inc. (Æ)		9,132		37
Teledyne Technologies, Inc. (Æ)		471		28
TRC Cos., Inc. (Æ)		1,459		8
Trimas Corp. (Æ)		2,633		64
TrueBlue, Inc. (Æ)		6,805		113
Twin Disc, Inc.		136		4
United Rentals, Inc. (Æ)		698		29
United Stationers, Inc.		200		6
US Airways Group, Inc. (Æ)		8,975		66
Viad Corp.		2,824		55
Werner Enterprises, Inc.		4,528		110
Woodward, Inc.		639		28

				4,446


Information Technology - 17.2%
ACI Worldwide, Inc. (Æ)		3,533		134
Actuate Corp. (Æ)		8,586		52
Acxiom Corp. (Æ)		4,525		64
Anaren, Inc. (Æ)		938		16
Ancestry.com, Inc. (Æ)		700		16
Anixter International, Inc. (Æ)		359		25
Arris Group, Inc. (Æ)		7,125		81
Aspen Technology, Inc. (Æ)		4,234		87
Aviat Networks, Inc. (Æ)		3,747		10
Black Box Corp.		765		21
Brightpoint, Inc. (Æ)		12,173		107
Brooks Automation, Inc.		5,745		69
Cabot Microelectronics Corp. (Æ)		456		23
CACI International, Inc. Class A (Æ)		789		47
Cardtronics, Inc. (Æ)		2,187		58
CIBER, Inc. (Æ)		4,914		22
Coherent, Inc. (Æ)		2,204		122
Communications Systems, Inc.		367		5
Comtech Telecommunications Corp.		3,569		115
Convergys Corp. (Æ)		6,007		77
Cray, Inc. (Æ)		2,138		17
CSG Systems International, Inc. (Æ)		3,778		61
Dice Holdings, Inc. (Æ)		4,794		43
Digi International, Inc. (Æ)		4,526		51
Digimarc Corp. (Æ)		466		13
Digital River, Inc. (Æ)		1,483		26
DSP Group, Inc. (Æ)		1,668		11
Earthlink, Inc.		10,146		76
Ebix, Inc.		931		22
Electro Rent Corp.		700		13
Electro Scientific Industries, Inc.		156		2
Electronics for Imaging, Inc. (Æ)		1,069		17
Entegris, Inc. (Æ)		14,712		133
Fair Isaac Corp.		1,839		74
FEI Co. (Æ)		942		42
Global Cash Access Holdings, Inc. (Æ)		5,440		30
GSI Group, Inc. (Æ)		711		8
GT Advanced Technologies, Inc. (Æ)		8,419		72
InfoSpace, Inc. (Æ)		6,782		79
Insight Enterprises, Inc. (Æ)		7,718		161
Integrated Device Technology, Inc. (Æ)		13,060		90
Integrated Silicon Solution, Inc. (Æ)		844		9
Internap Network Services Corp. (Æ)		1,746		13
IntraLinks Holdings, Inc. (Æ)		466		3
IXYS Corp. (Æ)		3,865		46
JDA Software Group, Inc. (Æ)		2,959		74
Lattice Semiconductor Corp. (Æ)		21,913		144
LeCroy Corp. (Æ)		1,176		11
Liquidity Services, Inc. (Æ)		857		37
Littelfuse, Inc.		1,325		70
Manhattan Associates, Inc. (Æ)		3,197		148
MAXIMUS, Inc.		1,685		70
Measurement Specialties, Inc. (Æ)		644		21
Microsemi Corp. (Æ)		171		4
MicroStrategy, Inc. Class A (Æ)		172		23
MKS Instruments, Inc.		973		29
ModusLink Global Solutions, Inc.		2,823		16
MoneyGram International, Inc. (Æ)		687		12
Monotype Imaging Holdings, Inc. (Æ)		7,737		109
Nanometrics, Inc. (Æ)		2,387		42
Netgear, Inc. (Æ)		504		19
Netscout Systems, Inc. (Æ)		757		16
Newport Corp. (Æ)		2,153		36
Omnivision Technologies, Inc. (Æ)		2,225		36
Oplink Communications, Inc. (Æ)		2,924		48
OSI Systems, Inc. (Æ)		2,033		120
Parametric Technology Corp. (Æ)		7,319		195
PC Connection, Inc.		513		5
Perficient, Inc. (Æ)		856		10
Pericom Semiconductor Corp. (Æ)		4,852		37
Photronics, Inc. (Æ)		5,769		40
Plantronics, Inc.		3,005		112
Power-One, Inc. (Æ)		286		1
Progress Software Corp. (Æ)		3,197		74
QAD, Inc. Class A (Æ)		400		6
Quantum Corp. (Æ)		10,381		27
Quest Software, Inc. (Æ)		4,632		93
Radisys Corp. (Æ)		503		4
RF Micro Devices, Inc. (Æ)		3,059		15
Richardson Electronics, Ltd.		559		7
Seachange International, Inc. (Æ)		1,190		8
SS&C Technologies Holdings, Inc. (Æ)		95		2
Stamps.com, Inc. (Æ)		511		13
Standard Microsystems Corp. (Æ)		1,270		33
Symmetricom, Inc. (Æ)		6,919		41
TeleNav, Inc. (Æ)		4,382		29
TeleTech Holdings, Inc. (Æ)		4,304		66


38		Enhanced Small Cap Fund

SSgA
Enhanced Small Cap Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Tessera Technologies, Inc. (Æ)		5,475		92
TNS, Inc. (Æ)		767		14
Tyler Technologies, Inc. (Æ)		1,002		38
Ultratech, Inc. (Æ)		1,592		43
Unisys Corp. (Æ)		6,820		127
United Online, Inc.		5,722		29
VirnetX Holding Corp. (Æ)		724		16
Websense, Inc. (Æ)		903		16
XO Group, Inc. (Æ)		1,000		9
Xyratex, Ltd.		8,072		138
Zygo Corp. (Æ)		174		3

				4,691


Materials - 5.2%
A Schulman, Inc.		1,900		49
AEP Industries, Inc. (Æ)		186		6
Boise, Inc.		4,487		37
Buckeye Technologies, Inc.		2,696		92
Coeur d’Alene Mines Corp. (Æ)		6,509		185
Ferro Corp. (Æ)		3,483		19
Flotek Industries, Inc. (Æ)		2,206		25
Georgia Gulf Corp. (Æ)		156		5
Graphic Packaging Holding Co. (Æ)		5,175		27
Handy & Harman, Ltd. (Æ)		206		3
Hecla Mining Co.		9,375		48
Horsehead Holding Corp. (Æ)		1,181		13
Innospec, Inc. (Æ)		2,839		88
Kaiser Aluminum Corp.		507		25
KapStone Paper and Packaging Corp. (Æ)		4,663		94
Landec Corp. (Æ)		460		3
Minerals Technologies, Inc.		1,743		113
Myers Industries, Inc.		3,134		42
NewMarket Corp.		702		128
Noranda Aluminum Holding Corp.		4,779		57
PH Glatfelter Co.		1,570		25
PolyOne Corp.		8,268		111
Sensient Technologies Corp.		1,676		62
Spartech Corp. (Æ)		425		2
Stillwater Mining Co. (Æ)		2,046		29
TPC Group, Inc. (Æ)		852		30
Tredegar Corp.		1,987		46
Worthington Industries, Inc.		3,931		66

				1,430


Telecommunication Services - 1.2%
Cincinnati Bell, Inc. (Æ)		25,513		96
General Communication, Inc. Class A (Æ)		4,505		48
IDT Corp. Class B		4,247		38
Premiere Global Services, Inc. (Æ)		2,516		22
USA Mobility, Inc.		3,797		52
Vonage Holdings Corp. (Æ)		28,849		69

				325


Utilities - 2.9%
Avista Corp.		2,908		72
Cadiz, Inc. (Æ)		800		9
California Water Service Group		776		15
Chesapeake Utilities Corp.		400		16
Cleco Corp.		1,302		50
El Paso Electric Co.		4,699		154
Genie Energy, Ltd. Class B		930		9
Idacorp, Inc.		2,704		109
Laclede Group, Inc. (The)		778		32
New Jersey Resources Corp.		175		8
NorthWestern Corp.		1,004		35
PNM Resources, Inc.		5,303		95
Portland General Electric Co.		700		17
South Jersey Industries, Inc.		401		21
Southwest Gas Corp.		2,085		89
Unisource Energy Corp.		1,473		54

				785


Total Common Stocks (cost $22,428)				27,438


Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		100		—	±


Total Short-Term Investments (cost $0)±				—	±


Total Investments - 100.4% (identified cost $22,390)				27,438

Other Assets and Liabilities, Net - (0.4%)				(105	)


Net Assets - 100.0%				27,333

See accompanying notes which are an integral part of the financial statements.


Enhanced Small Cap Fund		39

SSgA
Enhanced Small Cap Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Consumer Discretionary	$	3,858	$	—	$	—	$	3,858		14.1
Consumer Staples		843		—		—		843		3.1
Energy		1,846		—		—		1,846		6.7
Financials		5,913		—		—		5,913		21.6
Health Care		3,301		—		—		3,301		12.1
Industrials		4,446		—		—		4,446		16.3
Information Technology		4,691		—		—		4,691		17.2
Materials		1,430		—		—		1,430		5.2
Telecommunication Services		325		—		—		325		1.2
Utilities		785		—		—		785		2.9
Short-Term Investments		—		—		—		—		—	^*

Total Investments	$	27,438	$	—	$	—	$	27,438		100.4

Other Assets and Liabilities, Net										(0.4	)

										100.0


*		Less than .05% of net assets.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


40		Enhanced Small Cap Fund

SSgA
Directional Core Equity Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,076.77	$	1,015.47
Expenses Paid During Period*	$	9.76	$	9.47


*	Expenses are equal to the Fund’s annualized expense ratio of 1.89% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Directional Core Equity Fund		41

This page has been intentionally left blank.

SSgA
Directional Core Equity Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 103.0%

Consumer Discretionary - 13.4%
Aaron’s, Inc. Class A (Û)		657		17
Advance Auto Parts, Inc. (Û)		333		29
Best Buy Co., Inc. (Û)		528		13
Brinker International, Inc. (Û)		914		25
Coinstar, Inc. (Æ) (Û)		426		25
Comcast Corp. Class A (Û)		652		19
Cracker Barrel Old Country Store, Inc. (Û)		436		24
Dillard’s, Inc. Class A (Û)		312		19
DISH Network Corp. Class A (Û)		532		16
Harman International Industries, Inc. (Û)		285		14
Macy’s, Inc. (Û)		782		30
PVH Corp.(Û)		273		23
Walt Disney Co. (The)		22		1

				255


Consumer Staples - 7.1%
Coca-Cola Co. (The) (Û)		69		5
Constellation Brands, Inc. Class A (Æ)(Û)		525		12
CVS Caremark Corp.		751		34
Kroger Co. (The) (Û)		507		12
PepsiCo, Inc. (Û)		6		—	±
Philip Morris International, Inc. (Û)		165		14
Procter & Gamble Co. (The) (Û)		163		11
Safeway, Inc. (Û)		611		13
Smithfield Foods, Inc. (Æ)(Û)		444		10
Wal-Mart Stores, Inc. (Û)		424		25

				136


Energy - 6.7%
Chevron Corp. (Û)		191		21
ConocoPhillips (Û)		282		22
Exxon Mobil Corp. (Û)		669		58
Marathon Oil Corp. (Û)		607		20
Occidental Petroleum Corp. (Û)		20		2
Schlumberger, Ltd. (Û)		67		5

				128


Financials - 16.1%
Aflac, Inc. (Û)		503		24
Allied World Assurance Co. Holdings AG		287		19
American Financial Group, Inc. (Û)		481		18
Annaly Capital Management, Inc. (ö)(Û)		831		14
Berkshire Hathaway, Inc. Class B (Æ)(Û)		22		2
CBL & Associates Properties, Inc. (ö)(Û)		1,136		20
East West Bancorp, Inc.		919		20
Ezcorp, Inc. Class A (Æ)(Û)		416		13
First Republic Bank (Æ)(Û)		597		18
Janus Capital Group, Inc.		2,314		20
JPMorgan Chase & Co. (Û)		332		13
LaSalle Hotel Properties (ö)		751		20
Moody’s Corp. (Û)		281		11
PNC Financial Services Group, Inc. (Û)		249		15
Portfolio Recovery Associates, Inc. (Æ)(Û)		22		1
Prudential Financial, Inc. (Û)		520		32
US Bancorp		373		11
Wells Fargo & Co. (Û)		556		17
World Acceptance Corp. (Æ)(Û)		300		19

				307


Health Care - 13.6%
Abbott Laboratories(Û)		261		15
Aetna, Inc. (Û)		233		11
Covidien PLC (Û)		365		19
Eli Lilly & Co. (Û)		571		22
Endo Pharmaceuticals Holdings, Inc. (Æ)(Û)		320		12
Humana, Inc. (Û)		267		23
Johnson & Johnson (Û)		113		7
Medivation, Inc. (Æ)		226		15
Merck & Co., Inc. (Û)		815		31
Pfizer, Inc. (Û)		1,610		34
Pharmacyclics, Inc. (Æ)		595		15
UnitedHealth Group, Inc. (Û)		534		30
Watson Pharmaceuticals, Inc. Class B (Æ)(Û)		181		11
Zimmer Holdings, Inc. (Û)		265		16

				261


Industrials - 13.0%
Actuant Corp. Class A (Û)		489		14
AGCO Corp. (Æ)(Û)		306		16
Alaska Air Group, Inc. (Æ)(Û)		194		13
Avis Budget Group, Inc. (Æ)(Û)		1,584		20
Corrections Corp. of America (Æ)(Û)		702		18
Deluxe Corp. (Û)		964		24
Dollar Thrifty Automotive Group, Inc. (Æ)(Û)		87		7
General Electric Co. (Û)		1,123		21
Hertz Global Holdings, Inc. (Æ)(Û)		816		12
Ingram Micro, Inc. Class A (Æ)(Û)		1,096		21
Lender Processing Services, Inc. (Û)		417		9
Northrop Grumman Corp. (Û)		186		11
Ryder System, Inc. (Û)		244		13
Tyco International, Ltd. (Û)		293		15


Directional Core Equity Fund		43

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$
United Continental Holdings, Inc. (Æ)		689			14
URS Corp.		462			20

					248


Information Technology - 22.6%
Activision Blizzard, Inc. (Û)		949			11
AOL, Inc. (Æ)		816			15
Apple, Inc. (Æ)(Û)		112			61
Brocade Communications Systems, Inc. (Æ)(Û)		4,930			28
CA, Inc. (Û)		586			16
Cadence Design Systems, Inc. (Æ)(Û)		1,737			20
Dell, Inc. (Æ)(Û)		614			11
Google, Inc. Class A (Æ)(Û)		19			12
Harris Corp. (Û)		318			14
IAC/InterActiveCorp (Û)		260			12
Intel Corp. (Û)		1,553			42
International Business Machines Corp. (Û)		229			45
Intuit, Inc. (Û)		260			15
j2 Global, Inc.		372			11
Jabil Circuit, Inc. (Û)		1,096			28
Microsoft Corp. (Û)		1,134			36
Oracle Corp. (Û)		98			3
Symantec Corp. (Æ)(Û)		819			15
Tech Data Corp. (Æ)(Û)		474			25
Vishay Intertechnology, Inc. (Æ)(Û)		1,057			13

					433


Materials - 6.3%
CF Industries Holdings, Inc. (Û)		141			26
Cliffs Natural Resources, Inc. (Û)		226			15
Domtar Corp. (Û)		110			11
Eastman Chemical Co. (Û)		301			16
PPG Industries, Inc. (Û)		205			19
Rockwood Holdings, Inc. (Æ)(Û)		324			17
WR Grace & Co. (Æ)(Û)		286			16

					120


Telecommunication Services - 2.6%
AT&T, Inc. (Û)		507			15
Telephone & Data Systems, Inc. (Û)		538			14
Verizon Communications, Inc. (Û)		553			21

					50


Utilities - 1.6%
AES Corp. (The) (Æ)(Û)		1,116			15
Ameren Corp. (Û)		489			16

					31


Total Common Stocks (cost $1,606)					1,969


Short-Term Investments - 7.9%
SSgA Prime Money Market Fund		151,507			152


Total Short-Term Investments (cost $152)					152


Total Investments - 110.9% (identified cost $1,758)					2,121

Securities Sold Short - (30.8)%

Consumer Discretionary - (6.8)%
CarMax, Inc. (Æ)		(490	)		(15	)
Deckers Outdoor Corp. (Æ)		(194	)		(15	)
Gentex Corp.		(318	)		(8	)
Hyatt Hotels Corp. Class A (Æ)		(323	)		(13	)
Johnson Controls, Inc.		(195	)		(6	)
Lennar Corp. Class A		(663	)		(16	)
Live Nation Entertainment, Inc. (Æ)		(959	)		(9	)
Scotts Miracle-Gro Co. (The) Class A		(234	)		(11	)
Starwood Hotels & Resorts Worldwide, Inc. (ö)		(194	)		(10	)
Toll Brothers, Inc. (Æ)		(648	)		(15	)
Urban Outfitters, Inc. (Æ)		(430	)		(12	)

					(130	)


Telecommunication Services - (1.0)%
AboveNet, Inc. (Æ)		(148	)		(10	)
SBA Communications Corp. Class A (Æ)		(194	)		(9	)

					(19	)


Materials - (1.5)%
Allegheny Technologies, Inc.		(202	)		(9	)
Intrepid Potash, Inc. (Æ)		(326	)		(8	)
Praxair, Inc.		(54	)		(6	)
Titanium Metals Corp.		(391	)		(6	)

					(29	)


Energy - (0.9)%
Dril-Quip, Inc. (Æ)		(131	)		(9	)
Lufkin Industries, Inc.		(111	)		(9	)

					(18	)


44		Directional Core Equity Fund

SSgA
Directional Core Equity Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$

Consumer Staples - (1.4)%
Flowers Foods, Inc.		(750	)		(14	)
Green Mountain Coffee Roasters, Inc. (Æ)		(195	)		(13	)

					(27	)


Health Care - (5.2)%
Brookdale Senior Living, Inc. Class A (Æ)		(773	)		(14	)
Bruker Corp. (Æ)		(657	)		(10	)
Catalyst Health Solutions, Inc. (Æ)		(236	)		(15	)
Edwards Lifesciences Corp. (Æ)		(81	)		(6	)
Impax Laboratories, Inc. (Æ)		(770	)		(18	)
Patterson Cos., Inc.		(364	)		(12	)
Theravance, Inc. (Æ)		(483	)		(9	)
Vertex Pharmaceuticals, Inc. (Æ)		(200	)		(8	)
Volcano Corp. (Æ)		(266	)		(7	)

					(99	)


Industrials - (3.7)%
Alexander & Baldwin, Inc.		(202	)		(9	)
Chart Industries, Inc. (Æ)		(283	)		(19	)
Cooper Industries PLC		(10	)		(1	)
Geo Group, Inc. (The) (Æ)		(536	)		(10	)
GrafTech International, Ltd. (Æ)		(730	)		(9	)
Snap-on, Inc.		(91	)		(6	)
Stericycle, Inc. (Æ)		(85	)		(7	)
Teekay Corp.		(354	)		(10	)

					(71	)


Financials - (4.2)%
American International Group, Inc. (Æ)		(576	)		(17	)
Goldman Sachs Group, Inc. (The)		(13	)		(2	)
Greenhill & Co., Inc.		(182	)		(8	)
Hudson City Bancorp, Inc.		(1,354	)		(9	)
New York Community Bancorp, Inc.		(714	)		(9	)
Old Republic International Corp.		(1,276	)		(14	)
Platinum Underwriters Holdings, Ltd.		(304	)		(11	)
Washington Federal, Inc.		(610	)		(10	)

					(80	)


Information Technology - (5.6)%
Altera Corp.		(325	)		(13	)
Ariba, Inc. (Æ)		(314	)		(10	)
Concur Technologies, Inc. (Æ)		(253	)		(15	)
Crown Castle International Corp. (Æ)		(143	)		(7	)
Juniper Networks, Inc. (Æ)		(397	)		(9	)
QLIK Technologies, Inc. (Æ)		(583	)		(18	)
Salesforce.com, Inc. (Æ)		(93	)		(13	)
Sapient Corp.		(1,061	)		(13	)
Silicon Laboratories, Inc. (Æ)		(136	)		(6	)
Viasat, Inc. (Æ)		(74	)		(4	)

					(108	)


Utilities - (0.5)%
Calpine Corp. (Æ)		(609	)		(9	)


Total Securities Sold Short (proceeds $582)					(590	)


Other Assets and Liabilities, Net - 19.9%					381


Net Assets - 100.0%					1,912

See accompanying notes which are an integral part of the financial statements.


Directional Core Equity Fund		45

SSgA
Directional Core Equity Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Consumer Discretionary	$	255		$	—	$	—	$	255			13.4
Consumer Staples		136			—		—		136			7.1
Energy		128			—		—		128			6.7
Financials		307			—		—		307			16.1
Health Care		261			—		—		261			13.6
Industrials		248			—		—		248			13.0
Information Technology		433			—		—		433			22.6
Materials		120			—		—		120			6.3
Telecommunication Services		50			—		—		50			2.6
Utilities		31			—		—		31			1.6
Short-Term Investments		152			—		—		152			7.9

Total Investments	$	2,121		$	—	$	—	$	2,121			110.9

Securities Sold Short		(590	)		—		—		(590	)		(30.8	)
Other Assets and Liabilities, Net												19.9

												100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


46		Directional Core Equity Fund

SSgA
Equity Funds

Notes to Schedules of Investments — February 29, 2012 (Unaudited)

Footnotes:


(Æ)		Non-income producing security.
(ö)		Real Estate Investment Trust (REIT).
(ÿ)		Rate noted is yield-to-maturity from date of acquisition.
(ç)		Fair value is at amortized cost, which approximates market.
(Ñ)		All or a portion of the shares of this security are on loan.
(X)		Affiliate; the security is purchased with the cash collateral from the securities loaned.
(§)		All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(Û)		Held as collateral in connection with securities sold short.
(å)		Cash collateral balances were held in connection with futures contract purchased (sold) by the Fund. See Note 2.
±		Less than $500.

Abbreviations:

ADR - American Depositary Receipt
CME - Chicago Mercantile Exchange


Notes to Schedules of Investments		47

SSgA
Equity Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


	Disciplined			Dynamic
Amounts in thousands	Equity Fund			Small Cap Fund

Assets
Investments, at identified cost	$	5,814		$	12,704

Investments, at market^,**		8,001			14,095
Cash (restricted)		—			—
Deposits with brokers for securities sold short		—			—
Receivables:
Dividends and interest		37			7
Investments sold		182			—
Fund shares sold		—			3
From advisor		11			22
Prepaid expenses		3			2

Total assets		8,234			14,129


Liabilities
Payables:
Due to custodian		45			—
Fund shares redeemed		—			—
Accrued fees to affiliates		16			31
Other accrued expenses		32			27
Daily variation margin on futures contracts		1			—
Securities sold short, at market value**		—			—
Payable upon return of securities loaned		1,015			2,800

Total liabilities		1,109			2,858



Net Assets	$	7,125		$	11,271


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	44		$	(3	)
Accumulated net realized gain (loss)		(46,390	)		(21,617	)
Unrealized appreciation (depreciation) on:
Investments		2,187			1,391
Futures contracts		—			—
Securities sold short		—			—
Shares of beneficial interest		1			—
Additional paid-in capital		51,283			31,500

Net Assets	$	7,125		$	11,271




Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class (a)	$	10.37		$	24.18
Net assets	$	7,125,489		$	10,719,904
Shares outstanding ($.001 par value)		686,994			443,250
Net asset value per share: Class R (a)	$	—		$	23.91
Net assets	$	—		$	551,555
Shares outstanding ($.001 par value)		—			23,071


Amounts in thousands
*	Securities on loan included in investments	$	988	$	2,677
**	Proceeds on securities sold short	$	—	$	—
***	Investments in Affiliates	$	—	$	72


(a)		Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.


48		Statements of Assets and Liabilities


Tuckerman Active			IAM			Enhanced			Directional
REIT Fund			SHARES Fund			Small Cap Fund			Core Equity Fund


$	38,347		$	145,717		$	22,390		$	1,758

	64,407			178,389			27,438			2,121
	—			—			14			—
	—			—			—			404

	16			438			15			4
	219			—			227			—
	62			—			16			—
	15			—			16			14
	5			5			8			4

	64,724			178,832			27,734			2,547




	29			—			136			—
	149			1			205			—
	62			58			36			23
	29			27			24			22
	—			23			—			—
	—			—			—			590
	6,558			5,215			—			—

	6,827			5,324			401			635



$	57,897		$	173,508		$	27,333		$	1,912



$	6		$	717		$	140		$	—
	(27,939	)		(24,435	)		(7,075	)		(3,452	)

	26,060			32,672			5,048			363
	—			385			—			—
	—			—			—			(8	)
	5			16			2			—
	59,765			164,153			29,218			5,009

$	57,897		$	173,508		$	27,333		$	1,912





$	11.94		$	10.55		$	11.45		$	10.94
$	57,897,024		$	173,507,526		$	27,332,596		$	1,912,408
	4,849,541			16,441,581			2,387,565			174,835
$	—		$	—		$	—		$	—
$	—		$	—		$	—		$	—
	—			—			—			—



$	6,428		$	5,126		$	—		$	—
$	—		$	—		$	—		$	582
$	—		$	4,201		$	—		$	152

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		49

SSgA
Equity Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


	Disciplined			Dynamic
Amounts in thousands	Equity Fund			Small Cap Fund

Investment Income
Dividends	$	99		$	52
Dividends from affiliated money market funds		—	*		—	*
Interest		1			—
Securities lending income		—			6

Total investment income		100			58


Expenses
Advisory fees		11			36
Administrative fees		16			16
Custodian fees		17			31
Distribution fees		6			8
Transfer agent fees		17			33
Professional fees		26			18
Registration fees		10			18
Shareholder servicing fees - Institutional Class		1			2
Shareholder servicing fees - Class R		—			2
Trustees’ fees		6			6
Insurance fees		—			—	*
Printing fees		—			6
Dividends from securities sold short		—			—
Miscellaneous		1			3

Expenses before reductions		111			179
Expense reductions		(83	)		(118	)

Net expenses		28			61

Net investment income (loss)		72			(3	)


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		495			432
Futures contracts		7			—

Net realized gain (loss)		502			432

Net change in unrealized appreciation (depreciation) on:
Investments		697			1,016
Futures contracts		—			—
Securities sold short		—			—

Net change in unrealized appreciation (depreciation)		697			1,016


Net realized and unrealized gain (loss)		1,199			1,448

Net Increase (Decrease) in Net Assets from Operations	$	1,271		$	1,445


*		Less than $500

See accompanying notes which are an integral part of the financial statements.


50		Statements of Operations


Tuckerman Active			IAM			Enhanced			Directional
REIT Fund			SHARES Fund			Small Cap Fund			Core Equity Fund


$	733		$	1,768		$	233		$	22
	—			1			—	*		—	*
	—			—			—			—
	12			28			—			—

	745			1,797			233			22



	181			196			58			14
	24			40			19			15
	17			25			35			16
	53			27			26			1
	23			16			16			14
	23			26			23			19
	11			12			12			12
	12			21			2			2
	—			—			—			—
	7			8			7			6
	1			2			—			—
	8			12			2			2
	—			—			—			3
	1			4			2			2

	361			389			202			106
	(82	)		(2	)		(106	)		(84	)

	279			387			96			22

	466			1,410			137			—




	2,428			206			790			47
	—			(61	)		31			—

	2,428			145			821			47


	1,859			18,816			2,249			208
	—			549			(3	)		—
	—			—			—			(100	)

	1,859			19,365			2,246			108


	4,287			19,510			3,067			155

$	4,753		$	20,920		$	3,204		$	155

See accompanying notes which are an integral part of the financial statements.


Statements of Operations		51

SSgA
Equity Funds

Statements of Changes in Net Assets — For the Periods Ended


	Disciplined Equity Fund						Dynamic Small Cap Fund
	Period Ended			Fiscal Year			Period Ended			Fiscal Year
	February 29, 2012			Ended			February 29, 2012			Ended
Amounts in thousands	(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	72		$	109		$	(3	)	$	(28	)
Net realized gain (loss)		502			1,208			432			2,742
Net change in unrealized appreciation (depreciation)		697			60			1,016			106

Net increase (decrease) in net assets from operations		1,271			1,377			1,445			2,820


Distributions
From net investment income
Institutional Class		(53	)		(123	)		—			—

Net decrease in net assets from distributions		(53	)		(123	)		—			—


Share Transactions
Net increase (decrease) in net assets from share transactions		(757	)		(1,461	)		68			(2,162	)


Total Net Increase (Decrease) in Net Assets		461			(207	)		1,513			658

Net Assets
Beginning of period		6,664			6,871			9,758			9,100


End of period	$	7,125		$	6,664		$	11,271		$	9,758


Undistributed (overdistributed) net investment income included in net assets	$	44		$	25		$	(3	)	$	—

See accompanying notes which are an integral part of the financial statements.


52		Statements of Changes in Net Assets


Tuckerman Active REIT Fund						IAM SHARES Fund						Enhanced Small Cap Fund						Directional Core Equity Fund
Period Ended			Fiscal Year			Period Ended			Fiscal Year			Period Ended			Fiscal Year			Period Ended			Fiscal Year
February 29, 2012			Ended			February 29, 2012			Ended			February 29, 2012			Ended			February 29, 2012			Ended
(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011




$	466		$	811		$	1,410		$	2,412		$	137		$	215		$	—		$	(11	)
	2,428			4,824			145			573			821			5,993			47			444
	1,859			4,781			19,365			20,208			2,246			1,593			108			100

	4,753			10,416			20,920			23,193			3,204			7,801			155			533




	(469	)		(944	)		(1,377	)		(2,430	)		(206	)		(155	)		—			—

	(469	)		(944	)		(1,377	)		(2,430	)		(206	)		(155	)		—			—



	(4,522	)		(11,075	)		1,622			2,652			(2,976	)		(6,465	)		(308	)		(2,241	)


	(238	)		(1,603	)		21,165			23,415			22			1,181			(153	)		(1,708	)


	58,135			59,738			152,343			128,928			27,311			26,130			2,065			3,773


$	57,897		$	58,135		$	173,508		$	152,343		$	27,333		$	27,311		$	1,912		$	2,065



$	6		$	9		$	717		$	684		$	140		$	209		$	—		$	—

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		53

SSgA
Equity Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total from			Distributions			Distributions
	Beginning of		Investment			and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
Disciplined Equity Fund

February 29, 2012*		9.20		.08			1.16			1.24			(.07	)		—
August 31, 2011		7.79		.14			1.42			1.56			(.15	)		—
August 31, 2010		7.72		.11			.07			.18			(.11	)		—
August 31, 2009		9.99		.17			(2.25	)		(2.08	)		(.19	)		—
August 31, 2008		11.83		.19			(1.85	)		(1.66	)		(.18	)		—
August 31, 2007		10.38		.16			1.46			1.62			(.17	)		—

Dynamic Small Cap Fund

Institutional Class
February 29, 2012*		20.89		—	(b)		3.29			3.29			—			—
August 31, 2011		15.80		(.05	)		5.14			5.09			—			—
August 31, 2010		15.31		(.02	)		.51			.49			—			—
August 31, 2009		22.14		(.06	)		(6.77	)		(6.83	)		—			—
August 31, 2008		30.06		(.08	)		(4.75	)		(4.83	)		(.03	)		(3.06	)
August 31, 2007		29.32		.03			2.24			2.27			—			(1.53	)

Class R
February 29, 2012*		20.69		(.04	)		3.26			3.22			—			—
August 31, 2011		15.70		(.12	)		5.11			4.99			—			—
August 31, 2010		15.22		(.03	)		.51			.48			—			—
August 31, 2009		21.99		(.03	)		(6.74	)		(6.77	)		—			—
August 31, 2008		29.87		(.11	)		(4.71	)		(4.82	)		—			(3.06	)
August 31, 2007		29.28		(.14	)		2.26			2.12			—			(1.53	)

Tuckerman Active REIT Fund

February 29, 2012*		11.07		.09			.87			.96			(.09	)		—
August 31, 2011		9.49		.14			1.60			1.74			(.16	)		—
August 31, 2010		7.48		.21			2.06			2.27			(.26	)		—
August 31, 2009		14.00		.28			(5.80	)		(5.52	)		(.27	)		(.73	)
August 31, 2008		19.58		.26			(1.31	)		(1.05	)		(.24	)		(4.29	)
August 31, 2007		20.55		.19			.50			.69			(.27	)		(1.39	)

IAM SHARES Fund

February 29, 2012*		9.37		.09			1.17			1.26			(.08	)		—
August 31, 2011		8.07		.15			1.30			1.45			(.15	)		—
August 31, 2010		7.88		.14			.18			.32			(.13	)		—
August 31, 2009		9.89		.17			(1.99	)		(1.82	)		(.19	)		—
August 31, 2008		11.37		.19			(1.49	)		(1.30	)		(.18	)		—
August 31, 2007		9.98		.17			1.39			1.56			(.17	)		—

Enhanced Small Cap Fund

February 29, 2012*		10.14		.06			1.33			1.39			(.08	)		—
August 31, 2011		7.95		.07			2.17			2.24			(.05	)		—
August 31, 2010		7.42		.05			.54			.59			(.06	)		—
August 31, 2009		10.01		.06			(2.56	)		(2.50	)		(.09	)		—
August 31, 2008		11.79		.08			(1.38	)		(1.30	)		(.06	)		(.42	)
August 31, 2007		11.72		.10			.77			.87			(.04	)		(.76	)

Directional Core Equity Fund

February 29, 2012*		10.16		—	(b)		.78			.78			—			—
August 31, 2011		8.91		(.04	)		1.29			1.25			—			—
August 31, 2010		9.15		(.04	)		(.20	)		(.24	)		—			—
August 31, 2009		10.14		(.04	)		(.75	)		(.79	)		(.20	)		—
August 31, 2008		12.09		.09			(1.90	)		(1.81	)		(.14	)		—
August 31, 2007		11.54		.20			.56			.76			(.09	)		(.12	)

See accompanying notes which are an integral part of the financial statements.


54		Financial Highlights


										%			%		%
			$					$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average			to Average		Investment Income			%
Total			End of		Total			End of Period		Net Assets,			Net Assets,		to Average			Portfolio
Distributions			Period		Return(e)			(000)		Net(c)(f)			Gross(f)		Net Assets(c)(f)			Turnover Rate(e)


	(.07	)		10.37		13.64			7,125		.65			2.58		1.67			163
	(.15	)		9.20		20.08			6,664		.65			3.12		1.47			64
	(.11	)		7.79		2.26			6,871		.82			.89		1.29			83
	(.19	)		7.72		(20.56	)		98,794		.63			.63		2.47			118
	(.18	)		9.99		(14.13	)		150,365		.51			.51		1.69			70
	(.17	)		11.83		15.66			248,028		.45			.45		1.38			53




	—			24.18		15.75			10,720		1.25			3.70		(.01	)		85
	—			20.89		32.22			9,115		1.25			3.38		(.24	)		179
	—			15.80		3.20			8,562		1.53			3.36		(.10	)		240
	—			15.31		(30.85	)		10,906		1.81			2.70		(.39	)		235
	(3.09	)		22.14		(17.93	)		25,927		1.38			1.38		(.35	)		159
	(1.53	)		30.06		7.70			105,292		1.11			1.11		.08			125


	—			23.91		15.56			551		1.60			4.13		(.38	)		85
	—			20.69		31.78			643		1.60			3.86		(.59	)		179
	—			15.70		3.15			538		1.60			3.87		(.16	)		240
	—			15.22		(30.79	)		612		1.60			3.18		(.21	)		235
	(3.06	)		21.99		(18.05	)		1,027		1.60			1.86		(.49	)		159
	(1.53	)		29.87		7.18			1,375		1.60			1.68		(.45	)		125



	(.09	)		11.94		8.80			57,897		1.00			1.29		1.66			11
	(.16	)		11.07		18.41			58,135		1.00			1.26		1.29			12
	(.26	)		9.49		30.77			59,738		1.00			1.31		2.46			36
	(1.00	)		7.48		(39.82	)		75,511		1.00			1.29		3.88			55
	(4.53	)		14.00		(6.47	)		158,284		1.00			1.10		1.73			35
	(1.66	)		19.58		2.98			136,286		1.00			1.06		.89			32



	(.08	)		10.55		13.62			173,508		.50			.50		1.81			1
	(.15	)		9.37		17.99			152,343		.48			.48		1.54			—
	(.13	)		8.07		4.01			128,928		.53			.53		1.62			2
	(.19	)		7.88		(18.15	)		123,953		.54			.54		2.39			5
	(.18	)		9.89		(11.52	)		199,951		.46			.46		1.80			2
	(.17	)		11.37		15.74			229,937		.45			.45		1.56			6



	(.08	)		11.45		13.87			27,333		.75			1.58		1.13			27
	(.05	)		10.14		28.19			27,311		.75			1.44		.69			57
	(.06	)		7.95		8.01			26,130		.75			1.58		.62			77
	(.09	)		7.42		(24.91	)		27,314		.75			1.48		.85			101
	(.48	)		10.01		(11.54	)		41,988		.75			1.09		.78			93
	(.80	)		11.79		7.49			42,724		.75			1.15		.81			49



	—			10.94		7.68			1,912		1.89 (d	)		9.11		(.09	)		75
	—			10.16		14.03			2,065		1.88 (d	)		7.12		(.36	)		141
	—			8.91		(2.62	)		3,773		1.94 (d	)		5.53		(.47	)		197
	(.20	)		9.15		(7.63	)		5,175		1.85 (d	)		4.39		(.52	)		185
	(.14	)		10.14		(15.10	)		9,849		1.86 (d	)		2.74		.79			114
	(.21	)		12.09		6.65			41,815		1.72 (d	)		2.16		1.59			185

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		55

SSgA
Equity Funds

Notes to Financial Highlights — February 29, 2012 (Unaudited)


*		For the six months ended February 29, 2012 (Unaudited)
(a)		Average daily shares outstanding were used for this calculation.
(b)		Less than $0.005 per share.
(c)		May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005% per share.
(d)		The annualized net expense ratio is 1.60% not including the dividends from securities sold short as contractually agreed by the Advisor.
(e)		Periods less than one year are not annualized.
(f)		The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.


56		Notes to Financial Highlights

SSgA
Equity Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on six funds: the SSgA Disciplined Equity Fund, SSgA Dynamic Small Cap Fund, SSgA Tuckerman Active REIT Fund, SSgA IAM SHARES Fund, SSgA Enhanced Small Cap Fund and SSgA Directional Core Equity Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Effective February 3, 2012, the SSgA Small Cap Fund was renamed the SSgA Dynamic Small Cap Fund.

Effective July 31, 2003, the Dynamic Small Cap Fund began offering Class R shares. Class R shares may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.


2.		Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

U.S. GAAP defines fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires a separate disclosure of the fair value hierarchy, for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Common stocks, exchange traded funds and derivatives that are traded on a national securities exchange are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.


Notes to Financial Statements		57

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable, such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows of each tranche, market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available. Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Short-term instruments purchased by the Funds and maturing within 60 days of the time of purchase are valued at “amortized cost” unless the Board determines that amortized cost does not represent fair value. These investments are categorized as Level 2 of the fair value hierarchy.

Financial over-the-counter derivative instruments are instruments such as foreign currency contracts, futures contracts, options contracts, or swap agreements that derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Events or circumstances affecting the values of fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of fund shares is determined may be reflected in the Investment Company’s calculation of NAVs for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Funds that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) State Street Bank and Trust Company (the “Custodian”), or Russell Fund Services Company (the “Administrator”), determines that a market quotation is inaccurate.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.


58		Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares, since foreign securities can trade on non-business days.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board and are categorized as Level 3 of the fair value hierarchy. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes).

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons action at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.

The levels associated with valuing the Funds’ investments for the period ended February 29, 2012 are disclosed in the Presentation of Portfolio Holdings following the Schedules of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date and interest income is recorded daily on the accrual basis.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (losses) of the other Funds.

It is each Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This requires each Fund to distribute all of its taxable income and capital gains. Therefore, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 29, 2012, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. While the statue of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ended August 31, 2008 through August 31, 2010, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.


Notes to Financial Statements		59

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

At February 29, 2012, the following Funds had net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:


	Expiration Year
	8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2016		8/31/2017		8/31/2018		8/31/2019		Total
Disciplined Equity Fund	$	19,079,922	$	—	$	—	$	—	$	—	$	13,892,182	$	13,459,059	$	—	$	46,431,163
Dynamic Small Cap Fund		—		—		—		—		—		15,554,002		6,490,926		—		22,044,928
Tuckerman Active REIT Fund		—		—		—		—		—		3,207,150		27,044,611		—		30,251,761
IAM SHARES Fund		1,396,175		859,207		—		—		2,796,414		1,248,239		17,638,415		413,776		24,352,226
Enhanced Small Cap Fund		—		—		—		—		—		255,751		7,577,486		—		7,833,237
Directional Core Equity Fund		—		—		—		—		224,060		2,601,456		670,141		—		3,495,657

Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

As of February 29, 2012, the Funds’ aggregate cost of investments and the comparison of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:


							Tuckerman								Directional
	Disciplined			Dynamic Small			Active REIT		IAM			Enhanced			Core
	Equity Fund			Cap Fund			Fund		SHARES Fund			Small Cap Fund			Equity Fund
Cost of Investments for Tax Purposes	$	6,211,993		$	12,705,844		$	38,461,556	$	146,106,411		$	22,465,481		$	1,769,482

Gross Tax Unrealized Appreciation		1,801,177			1,669,337			25,945,410		56,843,230			5,974,468			359,386
Gross Tax Unrealized Depreciation		(11,734	)		(280,383	)		—		(24,561,025	)		(1,001,513	)		(7,731	)

Net Unrealized Appreciation (Depreciation)	$	1,789,443		$	1,388,954		$	25,945,410	$	32,282,205		$	4,972,955		$	351,655

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid on the following frequency:


Disciplined Equity Fund		Quarterly
Dynamic Small Cap Fund		Annually
Tuckerman Active REIT Fund		Monthly
IAM SHARES Fund		Quarterly
Enhanced Small Cap Fund		Annually
Directional Core Equity Fund		Annually

Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all Funds of the Investment Company based principally on their relative average net assets.

The Dynamic Small Cap Fund offers Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and


60		Notes to Financial Statements

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Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in each Fund’s Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objectives.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk, counterparty risk, interest rate risk and credit risk.

The fair values of the Funds Derivative Instruments as shown on the Statements of Assets and Liabilities, categorized by risk exposure for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Disciplined			IAM		Enhanced
	Equity Fund			SHARES Fund		Small Cap Fund
Derivatives not accounted for as hedging instruments	Equity Contracts			Equity Contracts		Equity Contracts
Location
Statement of Assets and Liabilities — Assets
Daily variation margin on futures contracts*	$	—		$	385	$	—

Location
Statement of Assets and Liabilities — Liabilities
Daily variation margin on futures contracts*	$	—	**	$	—	$	—


	*	Includes cumulative appreciation (depreciation) of futures contracts as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
	**	Less than $500.

The effects of Derivative Instruments on the Statements of Operations for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Disciplined		IAM			Enhanced
	Equity Fund		SHARES Fund			Small Cap Fund
Derivatives not accounted for as hedging instruments	Equity Contracts		Equity Contracts			Equity Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	7	$	(61	)	$	31

Location
Statement of Operations — Net change in unrealized appreciation (depreciation)
Futures contracts	$	—	$	549		$	(3	)

The Dynamic Small Cap, Tuckerman Active REIT and Directional Core Equity Funds had no derivative instruments for the period ended February 29, 2012.


Notes to Financial Statements		61

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Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

For the period ended February 29, 2012, the Funds’ quarterly holdings of futures contracts were as follows:


	Number of Futures Contracts Outstanding
Quarter Ended	November 30, 2011		February 29, 2012
Disciplined Equity Fund		—		2
IAM SHARES Fund		12		13
Enhanced Small Cap Fund		—		—

Futures Contracts

The Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains (losses) are recognized.

Short Sales

The Directional Core Equity Fund may enter into short sale transactions. In a short sale, the seller sells a security that it does not own, typically a security borrowed from a broker or dealer. Because the seller remains liable to return the underlying security that it borrowed from the broker or dealer, the seller must purchase the security prior to the date on which delivery to the broker or dealer is required. As a result, the Fund will engage in short sales only where the Advisor believes the value of the security will decline between the date of the sale and the date the Fund is required to return the borrowed security. The Fund will incur a loss as a result of the short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will realize a gain if the security declines in price between those dates. The making of short sales exposes the Fund to the risk of liability for the market value of the security that is sold (the amount of which the liability increases as the market value of the underlying security increases), in addition to the costs associated with establishing, maintaining and closing out the short position. Although the Fund’s potential for gain as a result of a short sale is limited to the price at which it sold the security short less the cost of borrowing the security, its potential for loss is theoretically unlimited because there is no limit to the cost of replacing the borrowed security. When engaging in short sales, the Fund may be required to pledge assets to the broker or take other action to cover its obligation, which has the practical effect of limiting the amount of leverage that can be created through this investment.

Guarantees

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote.


3.		Investment Transactions

Securities

For the period ended February 29, 2012, purchases and sales of investment securities, excluding short-term investments, short sales and futures contracts were as follows:


	Purchases		Sales
Disciplined Equity Fund	$	13,472,622	$	14,370,141
Dynamic Small Cap Fund		8,422,363		8,311,061
Tuckerman Active REIT Fund		6,342,076		10,469,750
IAM SHARES Fund		1,696,241		909,595
Enhanced Small Cap Fund		7,012,091		9,597,339
Directional Core Equity Fund		1,601,328		2,009,729


62		Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Securities Lending

The Investment Company participates in a securities lending program whereby each Fund can loan securities with a value up to 33¹/3% of its total assets. Each Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company (“State Street,” the lending agent and an affiliate of the Advisor) in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. Under the securities lending arrangement, the collateral received is recorded on a lending Fund’s statement of assets and liabilities along with the related obligation to return the collateral. At year end, all such cash collateral was invested in the State Street Navigator Securities Lending Prime Portfolio, a money market fund affiliated with the Advisor.

Income generated from the investment of cash collateral, less negotiated rebate fees paid to participating brokers and transaction costs, is divided between the Fund and State Street and is recorded as securities lending income for the Funds. To the extent that a loan is secured by non-cash collateral, brokers pay the Fund negotiated lenders’ fees, which are divided between the Fund and State Street and are recorded as security lending income for the Fund. All collateral received will be in an amount at least equal to 102% (for loans of U.S. securities) or 105% (for non-U.S. securities) of the market value of the loaned securities at the inception of each loan. The market value of the loaned securities is determined at the close of business of the Funds, and any additional required collateral is delivered to the Funds the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights in the securities loaned or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing.

As of February 29, 2012, the non-cash collateral received for the securities on loan was as follows:

The Funds cannot repledge or sell non-cash collateral balances.


4.		Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Advisor manages the Funds pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Tuckerman Group, LLC serves as the investment sub-advisor (the “Sub-Advisor”) for the Tuckerman Active REIT Fund. The Advisor provides reporting, operational compliance and general oversight services with respect to the investment advisory services of the Sub-Advisor. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Advisor, calculated daily and paid monthly, at the following annual rates of their average daily net assets:


Funds	%
Disciplined Equity Fund		0.25
Dynamic Small Cap Fund		0.75
Tuckerman Active REIT Fund		0.65
IAM SHARES Fund		0.25
Enhanced Small Cap Fund		0.45
Directional Core Equity Fund		1.25

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its advisory fee for both Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class. If thereafter the total expenses for Class R remain above the total expense cap in effect for Class R, then State Street Global Markets, LLC (the “Distributor”), a wholly-owned subsidiary of State Street Corporation, will waive up to 0.70% of the average daily net assets of the distribution (12b-1) and service fee to further reduce the total expenses of Class R to the level of its cap. If after waiving the


Notes to Financial Statements		63

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

full 0.70% of the average daily net assets of Class R and Class R remains above the total expense cap, then the Advisor will reimburse Class R for all expenses to the level of the cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of the average daily net assets of distribution (12b-1) and service fees.

The Advisor has contractually agreed to waive up to the full amount of the Disciplined Equity Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.65% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $109. The total amount of reimbursement for the period ended February 29, 2012 was $82,713.

The Advisor has contractually agreed to waive up to the full amount of the Dynamic Small Cap Fund’s advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 1.25% and 1.60%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $34,234 for the Institutional Class and $1,858 for Class R. The total amount of distribution fee waiver for Class R for the period ended February 29, 2012 was $200. The total amount of reimbursement for the period ended February 29, 2012 was $77,367 for Institutional Class and $4,209 for Class R.

The Advisor has contractually agreed to waive up to the full amount of the Tuckerman Active REIT Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 1.00% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $81,832. There was no reimbursement for the period ended February 29, 2012.

The Advisor has contractually agreed to waive up to the full amount of the IAM SHARES Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.65% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). There were no waivers or reimbursements for the period ended February 29, 2012.

The Advisor has contractually agreed to waive up to the full amount of the Enhanced Small Cap Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 0.75% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $57,544. The total amount of reimbursement for the period ended February 29, 2012 was $48,161.

The Advisor has contractually agreed to waive up to the full amount of the Directional Core Equity Fund’s advisory fees and to reimburse the Fund for all expenses in excess of 1.60% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and dividends and interest on securities sold short). The total amount of the waiver for the period ended February 29, 2012 was $14,487. The total amount of reimbursement for the period ended February 29, 2012 was $68,989.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Investment Company also has a contract with State Street to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 29, 2012, $4,424,767 of the Central Fund’s net assets represents investments by these Funds, and $23,549,848 represents the investments of other Investment Company Funds not presented herein.


64		Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Amounts related to investments in the Central Fund during the period ended February 29, 2012 were as follows:


	Market		Purchases		Sales		Realized		Income
Funds	Value		Cost		Cost		Gain (Loss)		Distributions
Disciplined Equity Fund	$	100	$	11,277,672	$	11,280,703	$	—	$	93
Dynamic Small Cap Fund		72,250		1,749,120		1,676,970		—		45
Tuckerman Active REIT Fund		100		5,202,616		5,360,098		—		77
IAM SHARES Fund		4,200,710		4,993,291		3,392,330		—		1,388
Enhanced Small Cap Fund		100		2,175,804		2,509,327		—		69
Directional Core Equity Fund		151,507		1,424,603		1,545,721		—		112

Effective September 1, 2006, the Advisor has voluntarily agreed to waive a portion of certain Funds’ advisory fee equal to the advisory fee paid by certain Funds to the Central Fund. In addition, if Central Fund shares sold to and/or redeemed from a participating fund are subject under a 12b-1 Plan to any distribution fee or service fee, the Advisor will waive its advisory fee for each participating Fund, in an amount that offsets the amount of such fee incurred by the participating Fund. For the period ended February 29, 2012, the total advisory fees waived were as follows:


	Amount Paid
Disciplined Equity Fund	$	109
Dynamic Small Cap Fund		64
Tuckerman Active REIT Fund		117
IAM SHARES Fund		2,090
Enhanced Small Cap Fund		118
Directional Core Equity Fund		204

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were not reduced under these arrangements.

Securities Lending

For the period September 1, 2011 through February 29, 2012, State Street earned securities lending agent fees as follows:


	Agent Fees
	Earned
Disciplined Equity Fund	$	185
Dynamic Small Cap Fund		1,052
Tuckerman Active REIT Fund		2,045
IAM SHARES Fund		5,198

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of the Funds described in this report: $0 to $2 billion — 0.0315%; over $2 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.


Notes to Financial Statements		65

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Distributor and Shareholder Servicing

The Investment Company has adopted a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor to promote and offer shares of the Investment Company. The Distributor may enter into agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statements of Operations.

Institutional Class

The Investment Company has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has a shareholder servicing agreement with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street, and a maximum of 0.175% to each of the other named affiliated Agents, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 29, 2012, each Institutional Class paid the following shareholder servicing expenses to the Agents:


					High Net
			Global		Worth
	State Street		Markets		Services
Disciplined Equity Fund	$	263	$	505	$	217
Dynamic Small Cap Fund		294		521		119
Tuckerman Active REIT Fund		920		169		43
IAM SHARES Fund		18,078		181		64
Enhanced Small Cap Fund		33		—		—
Directional Core Equity Fund		4		—		—

The Institutional Class did not incur any expenses from Fiduciary Investors Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of the Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuation.

Class R

The Investment Company has adopted a distribution plan for the Class R Shares pursuant to Rule 12b-1 (the “R Plan”) under the 1940 Act. Under the R Plan, each Fund pays the Distributor a fee not to exceed 0.70% of the fund’s average net value per year, for distribution, shareholder and administrative services provided to the Fund by the Distributor and financial intermediaries.

The Distributor pays the financial intermediaries for shareholder and administrative services provided to a Fund out of the fee the Distributor receives from the Fund. Fees paid to the financial intermediaries providing shareholder and administrative services to a Fund are not permitted by the R Plan to exceed 0.65% of the Fund’s average net asset value per year. Payments to the Distributor for distribution and shareholder services to a Fund are not permitted by the R plan to exceed 0.05% of the Funds’ average daily net assets per year. Any payments that are required to be made to the Distributor or financial intermediaries that


66		Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years so long as the R Plan is in effect.

Under the R Plan, the Funds have adopted a distribution agreement with the Distributor. For these services, Class R pays the Distributor 0.05% of the daily net asset value. For the period ended February 29, 2012, the Dynamic Small Cap Fund paid $124.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the Funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


	Disciplined		Dynamic		Tuckerman		IAM		Enhanced		Directional
	Equity Fund		Small Cap Fund		Active REIT Fund		SHARES Fund		Small Cap Fund		Core Equity Fund
Advisory fees	$	3,168	$	6,540	$	30,933	$	33,919	$	10,107	$	1,938
Administration fees		2,889		2,724		3,986		6,835		3,167		2,487
Custodian Fees		796		6,108		3,218		3,060		9,060		2,090
Distribution fees		501		456		8,679		55		4,239		515
Shareholder servicing fees		665		2,861		5,128		6,178		2,153		8,946
Transfer agent fees		5,702		9,982		7,647		5,003		5,030		4,574
Trustee fees		2,250		2,066		2,526		3,108		2,248		2,022

	$	15,971	$	30,737	$	62,117	$	58,158	$	36,004	$	22,572


5.		Fund Share Transactions


	(amounts in thousands)
	For the Periods Ended
	February 29, 2012						August 31, 2011
Disciplined Equity Fund	Shares			Dollars			Shares			Dollars
Proceeds from shares sold		1,116		$	11,150			19		$	180
Proceeds from reinvestment of distributions		5			49			14			120
Payments for shares redeemed		(1,159	)		(11,956	)		(190	)		(1,761	)

Total net increase (decrease)		(38	)	$	(757	)		(157	)	$	(1,461	)


Dynamic Small Cap Fund
Institutional Class
Proceeds from shares sold		42		$	1,000			48		$	1,049
Proceeds from reinvestment of distributions		—			—			—			—
Payments for shares redeemed		(35	)		(773	)		(154	)		(3,119	)

		7			227			(106	)		(2,070	)


Class R
Proceeds from shares sold		6			130			17			347
Proceeds from reinvestment of distributions		—			—			—			—
Payments for shares redeemed		(14	)		(289	)		(20	)		(439	)

		(8	)		(159	)		(3	)		(92	)

Total net increase (decrease)		(1	)	$	68			(109	)	$	(2,162	)


Notes to Financial Statements		67

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)



Proceeds from shares sold	349		$	3,917		953		$	10,363
Proceeds from reinvestment of distributions	44			464		88			936
Payments for shares redeemed	(796	)		(8,903	)	(2,082	)		(22,374	)

Total net increase (decrease)	(403	)	$	(4,522	)	(1,041	)	$	(11,075	)


IAM SHARES Fund
Proceeds from shares sold	48		$	454		76		$	722
Proceeds from reinvestment of distributions	149			1,377		259			2,429
Payments for shares redeemed	(21	)		(209	)	(51	)		(499	)

Total net increase (decrease)	176		$	1,622		284		$	2,652


Enhanced Small Cap Fund
Proceeds from shares sold	133		$	1,442		301		$	2,987
Proceeds from reinvestment of distributions	21			206		17			155
Payments for shares redeemed	(461	)		(4,624	)	(911	)		(9,607	)

Total net increase (decrease)	(307	)	$	(2,976	)	(593	)	$	(6,465	)


Directional Core Equity Fund
Proceeds from shares sold	85		$	860		15		$	159
Proceeds from reinvestment of distributions	—			—		—			—
Payments for shares redeemed	(113	)		(1,168	)	(235	)		(2,400	)

Total net increase (decrease)	(28	)	$	(308	)	(220	)	$	(2,241	)


6.		Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the Funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in a lost investment opportunity or additional borrowing costs. For the period ended February 29, 2012, the Funds did not utilize the Interfund Lending Program.


7.		Dividends

On March 1, 2012 the Funds declared the following dividends from net investment income payable on March 7, 2012 to shareholders of record on March 2, 2012.


	Net Investment
	Income
Disciplined Equity Fund	$	0.0635
Tuckerman Active REIT Fund		0.0083
IAM SHARES Fund		0.0042


68		Notes to Financial Statements

SSgA
Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

On April 2, 2012, the Funds declared the following dividends from net investment income payable on April 9, 2012 to shareholders of record April 3, 2012.


	Net Investment
	Income
Tuckerman Active REIT Fund	$	0.0294


8.		Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by each Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.


9.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review, nothing was discovered, except for the following, which would require disclosure within the financial statements.

The Board has approved a Plan of Liquidation and Termination (the “Plan”) with respect to the SSgA Disciplined Equity Fund and SSgA Directional Core Equity Fund, pursuant to which each Fund is expected to be liquidated and terminated on or prior to May 15, 2012 (the “Liquidation Date”). During the period between the effective date of the Plan and the Liquidation Date, each Fund will engage in business and activities solely for the purposes of winding up its business and affairs and making a distribution of its assets to shareholders, and may not pursue or achieve its investment objective.

Each Fund ceased the sale of its shares to new investors at the close of business on February 3, 2012; however, shares of each Fund may continue to be offered through intermediaries that currently have relationships with the Funds and to current shareholders having accounts directly with the Funds. Effective upon the close of business on April 30, 2012, the Funds will no longer accept orders from existing shareholders to purchase additional shares. Current shareholders of the Funds may, consistent with the requirements set forth in the Prospectus, redeem or exchange their shares into shares of the same class of other SSgA Funds at any time prior to the Liquidation Date.

Prior to the Liquidation Date, each Fund will discontinue payments of any 12b-1 distribution fees.

At or immediately prior to the Liquidation Date, each Fund shall, if necessary, have declared and paid a dividend or dividends which, together with all previous such dividends, shall have the effect of distributing to the shareholders of the Fund all of the Fund’s investment company taxable income for taxable years ending at or prior to the Liquidation Date (computed without regard to any deduction for dividends paid) and all of its net capital gain, if any, realized in taxable years ending at or prior to the Liquidation Date (after reduction for any capital loss carry-forward) and any additional amounts necessary to avoid any excise tax for such periods.

Effective on July 31, 2012 (the “Conversion Date”), the SSgA Funds will cease offering Class R shares and all shareholders holding Class R shares of an SSgA Fund will have their Class R shares automatically converted, pro rata, to Institutional Class shares of the same SSgA Fund.


Notes to Financial Statements		69

SSgA
Equity Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)

The Funds have adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


70		Shareholder Requests for Additional Information

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

The following tables provide information for each trustee and principal officers of the Investment Company, which consists of 20 funds. The first table provides information about the trustees who are interested persons. The second table provides information about the independent trustees. The third table provides information about the officers.

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial
Center
One Lincoln Street
Boston, MA
02111-2900

Trustee since November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Member, Board of Trustees (Chairman of the Board from 1988 to December 2008)

Member, Audit Committee,

Chairman, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired);

• March 2007 to September 2010, member, IDC Board of Governors;

• September 2007 to September 2010, member Investment Company Institute Board of Governors;

• September 2008 to September 2010, member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell Trust Company (Retired).

None


Disclosure of Information about Fund Trustees and Officers		71

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall
Born December 12, 1942

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Chief Executive Officer and President, Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment advisor and provider of financial and related consulting services);

• Certified Financial Planner and Member, Financial Planners Association; and

• Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Independent Chairman of the Board since January 2009

Member (ex-officio), Audit Committee

Member (ex-officio), Governance Committee

Member (ex-officio), Valuation Committee

Member (ex-officio), Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc);

• January 2009 to Present, Independent Director, SSgA Fixed Income plc; and

• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.

None


72		Disclosure of Information about Fund Trustees and Officers

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Chairman, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None

Bruce D. Taber Born
April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit Committee

Member, Governance Committee

Chairman, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund plc;

• Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


Disclosure of Information about Fund Trustees and Officers		73

SSgA
Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


74		Disclosure of Information about Fund Trustees and Officers

SSgA
Equity Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Officer and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center, One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers		75

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DESAR-02/12

LIFE SOLUTIONS FUNDS

LS Balanced Fund
LS Balanced Fund – Class R
LS Growth Fund
LS Growth Fund – Class R
LS Income and Growth Fund
LS Income and Growth Fund – Class R

Semiannual Report
February 29, 2012

SSgA Funds

Life Solutions^sm Funds

Semi-annual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

Balanced Fund		5
Growth Fund		9
Income and Growth Fund		13
Statements of Assets and Liabilities		16
Statements of Operations		17
Statements of Changes in Net Assets		18
Financial Highlights		20
Notes to Financial Statements		22
Shareholder Requests for Additional Information		33
Disclosure of Information about Fund Trustees and Officers		34
Fund Management and Service Providers		38

“SSgA” is a registered trademark and “Life Solutions^sm” is a registered service mark of State Street Corporation and is licensed for use by the SSgA Funds.

This report is prepared from the books and records of the Funds and it is submitted for the general information of shareholders. This information is for distribution to prospective investors only when preceded or accompanied by a SSgA Funds Prospectus containing more complete information concerning the investment objectives and operations of the Funds, charges and expenses. The Prospectus should be read carefully before an investment is made.

This page has been intentionally left blank.

SSgA Life Solutions
Balanced Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,082.52	$	1,022.63
Expenses Paid During Period*	$	2.33	$	2.26


*	Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,079.91	$	1,020.29
Expenses Paid During Period*	$	4.76	$	4.62


*	Expenses are equal to the Fund’s annualized expense ratio of 0.92% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Life Solutions Balanced Fund		5

This page has been intentionally left blank.

SSgA Life Solutions
Balanced Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$

Investments - 100.6%

Bonds - 34.9%
SPDR Barclays Capital Aggregate Bond ETF		1,498		87
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		3,515		120
SSgA Bond Market Fund		88,702		806
SSgA High Yield Bond Fund		8,056		67

				1,080


Domestic Equities - 55.4%
SPDR S&P Dividend ETF		1,090		61
SPDR S&P MidCap 400 ETF Trust		1,140		203
SSgA Enhanced Small Cap Fund		8,079		92
SSgA S&P 500 Index Fund		57,672		1,299
SSgA Tuckerman Active REIT Fund		5,320		64

				1,719


International Equities - 10.3%
SSgA Emerging Markets Fund		3,247		68
SSgA International Stock Selection Fund		27,241		251

				319


Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		212		—	±


Total Investments - 100.6%* (identified cost $2,205)				3,118

Other Assets and Liabilities, Net - (0.6%)				(20	)


Net Assets - 100.0%				3,098


*		Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)
±		Less than $500.

See accompanying notes which are an integral part of the financial statements.


Life Solutions Balanced Fund		7

This page has been intentionally left blank.

SSgA Life Solutions
Growth Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,099.83	$	1,022.63
Expenses Paid During Period*	$	2.35	$	2.26


*	Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,096.91	$	1,020.09
Expenses Paid During Period*	$	5.01	$	4.82


*	Expenses are equal to the Fund’s annualized expense ratio of 0.96% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Life Solutions Growth Fund		9

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SSgA Life Solutions
Growth Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$

Investments - 101.1%

Bonds - 15.2%
SPDR Barclays Capital Aggregate Bond ETF		435		26
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		2,440		83
SSgA Bond Market Fund		19,677		179
SSgA High Yield Bond Fund		5,415		45

				333


Domestic Equities - 70.7%
SPDR S&P Dividend ETF		790		44
SPDR S&P MidCap 400 ETF Trust		960		171
SSgA Enhanced Small Cap Fund		8,573		98
SSgA S&P 500 Index Fund		53,007		1,194
SSgA Tuckerman Active REIT Fund		3,614		43

				1,550


International Equities - 15.2%
SSgA Emerging Markets Fund		2,155		45
SSgA International Stock Selection Fund		31,123		287

				332


Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		337		—	±



Total Investments - 101.1%* (identified cost $1,510)				2,215

Other Assets and Liabilities, Net - (1.1%)				(24	)


Net Assets - 100.0%				2,191


*		Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)
±		Less than $500.

See accompanying notes which are an integral part of the financial statements.


Life Solutions Growth Fund		11

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SSgA Life Solutions
Income and Growth Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,068.11	$	1,022.63
Expenses Paid During Period*	$	2.31	$	2.26


*	Expenses are equal to the Fund’s annualized expense ratio of 0.45% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,065.42	$	1,020.39
Expenses Paid During Period*	$	4.62	$	4.52


*	Expenses are equal to the Fund’s annualized expense ratio of 0.90% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Life Solutions Income and Growth Fund		13

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SSgA Life Solutions
Income and Growth Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
			Market
			Value
	Shares		$

Investments - 102.3%

Bonds - 56.3%
SPDR Barclays Capital Aggregate Bond ETF		1,420		83
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		1,340		46
SSgA Bond Market Fund		54,415		495
SSgA High Yield Bond Fund		2,861		24

				648


Domestic Equities - 40.9%
SPDR S&P Dividend ETF		535		30
SPDR S&P MidCap 400 ETF Trust		275		49
SSgA Enhanced Small Cap Fund		2,018		23
SSgA S&P 500 Index Fund		15,338		345
SSgA Tuckerman Active REIT Fund		1,958		23

				470


International Equities - 5.1%
SSgA Emerging Markets Fund		1,142		24
SSgA International Stock Selection Fund		3,845		35

				59


Short-Term Investments - 0.0%
SSgA Prime Money Market Fund		3		—	±


Total Investments - 102.3%* (identified cost $929)				1,177

Other Assets and Liabilities, Net - (2.3%)				(27	)


Net Assets - 100.0%				1,150


*		Unless otherwise indicated, the values of securities of the Fund are determined based on Level 1 inputs. (Note 2)
±		Less than $500.

See accompanying notes which are an integral part of the financial statements.


Life Solutions Income and Growth Fund		15

SSgA
Life Solutions Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


							Life Solutions
	Life Solutions			Life Solutions			Income and
Amounts in thousands	Balanced Fund			Growth Fund			Growth Fund

Assets
Investments, at identified cost	$	2,205		$	1,510		$	929

Investments, at market		3,118			2,215			1,177
Receivables:
Fund shares sold		12			3			1
From advisor		15			13			11
Prepaid expenses		1			1			1

Total assets		3,146			2,232			1,190


Liabilities
Payables:
Investments purchased		1			—			—
Fund shares redeemed		—			2			—
Accrued fees to affiliates		14			13			15
Other accrued expenses		33			26			25

Total liabilities		48			41			40



Net Assets	$	3,098		$	2,191		$	1,150


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(51	)	$	7		$	13
Accumulated net realized gain (loss)		(6,055	)		(3,150	)		(1,883	)
Unrealized appreciation (depreciation) on investments		913			705			248
Additional paid-in capital		8,291			4,629			2,772

Net Assets	$	3,098		$	2,191		$	1,150




Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class(a)	$	10.63		$	12.03		$	11.17
Institutional Class — Net assets	$	2,545,673		$	1,941,764		$	1,001,367
Institutional Class — Shares outstanding ($.001 par value)		239,533			161,406			89,685
Net asset value per share: Class R(a)	$	10.63		$	12.08		$	11.15
Class R — Net assets	$	552,771		$	248,804		$	148,351
Class R — Shares outstanding ($.001 par value)		52,004			20,593			13,303

(a)

Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.


16		Statements of Assets and Liabilities

SSgA
Life Solutions Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


							Life Solutions
	Life Solutions			Life Solutions			Income and
Amounts in thousands	Balanced Fund			Growth Fund			Growth Fund

Investment Income
Income distribution from Underlying Funds	$	152		$	30		$	16


Expenses
Fund accounting fees		14			14			13
Distribution fees — Institutional Class		4			1			1
Distribution fees — Class R		1			1			—	^*
Transfer agent fees		32			32			32
Professional fees		15			15			14
Registration fees		17			17			17
Shareholder servicing fees — Institutional Class		1			—	^*		—	^*
Shareholder servicing fees — Class R		—	^*		—	^*		—	^*
Insurance fees		—	^*		—	^*		—	^*
Printing fees		9			2			2
Miscellaneous		2			2			2

Expenses before reductions		95			84			81
Expense reductions		(77	)		(79	)		(78	)

Net expenses		18			5			3

Net investment income (loss)		134			25			13


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		2,760			50			25
Net change in unrealized appreciation (depreciation) on investments		(3,775	)		126			35


Net realized and unrealized gain (loss)		(1,015	)		176			60

Net Increase (Decrease) in Net Assets from Operations	$	(881	)	$	201		$	73

Less than $500.

See accompanying notes which are an integral part of the financial statements.


Statements of Operations		17

SSgA
Life Solutions Funds

Statements of Changes in Net Assets — For the Periods Ended


	Life Solutions						Life Solutions						Life Solutions Income
	Balanced Fund						Growth Fund						and Growth Fund
	Six Months						Six Months						Six Months
	Ended			Fiscal Year			Ended			Fiscal Year			Ended			Fiscal
	February 29, 2012			Ended			February 29, 2012			Ended			February 29, 2012			Year Ended
Amounts in thousands	(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	134		$	670		$	25		$	81		$	13		$	35
Net realized gain (loss)		2,760			255			50			723			25			114
Net change in unrealized appreciation (depreciation)		(3,775	)		2,274			126			(77	)		35			8

Net increase (decrease) in net assets from operations		(881	)		3,199			201			727			73			157


Distributions
From net investment income
Institutional Class		(384	)		(661	)		(40	)		(93	)		(32	)		(58	)
Class R		(71	)		(8	)		(4	)		(2	)		(3	)		(35	)

Net decrease in net assets from distributions		(455	)		(669	)		(44	)		(95	)		(35	)		(93	)


Share Transactions
Net increase (decrease) in net assets from share transactions		(29,336	)		5,076			(65	)		(3,320	)		19			(559	)


Total Net Increase (Decrease) in Net Assets		(30,672	)		7,606			92			(2,688	)		57			(495	)

Net Assets
Beginning of period		33,770			26,164			2,099			4,787			1,093			1,588


End of period	$	3,098		$	33,770		$	2,191		$	2,099		$	1,150		$	1,093


Undistributed (overdistributed) net investment income included in net assets	$	(51	)	$	270		$	7		$	26		$	13		$	35

See accompanying notes which are an integral part of the financial statements.


18		Statements of Changes in Net Assets

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SSgA
Life Solutions Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$		$			$			$			$
	Net Asset Value,		Net		Net Realized			Total from			Distributions			Distributions			$
	Beginning of		Investment		and Unrealized			Investment			from Net			from Net			Return of
	Period		Income (Loss)(a)(b)		Gain (Loss)			Operations			Investment Income			Realized Gain			Capital
Life Solutions Balanced Fund

Institutional Class
February 29, 2012(1)		11.51		.20		.62			.82			(1.70	)		—			—
August 31, 2011		10.47		.25		1.05			1.30			(.26	)		—			—
August 31, 2010		10.30		.23		.15			.38			(.21	)		—			—
August 31, 2009		11.52		.22		(1.15	)		(.93	)		(.29	)		—			—
August 31, 2008		13.18		.53		(1.64	)		(1.11	)		(.55	)		—			—
August 31, 2007		12.66		.44		.50			.94			(.42	)		—			—

Class R
February 29, 2012(1)		11.52		.11		.68			.79			(1.68	)		—			—
August 31, 2011		10.45		.19		1.03			1.22			(.15	)		—			—
August 31, 2010		10.28		.16		.16			.32			(.15	)		—			—
August 31, 2009		11.42		.15		(1.13	)		(.98	)		(.16	)		—			—
August 31, 2008		13.05		.45		(1.60	)		(1.15	)		(.48	)		—			—
August 31, 2007		12.54		.31		.55			.86			(.35	)		—			—

Life Solutions Growth Fund

Institutional Class
February 29, 2012(1)		11.18		.14		.95			1.09			(.24	)		—			—
August 31, 2011		9.96		.26		1.16			1.42			(.20	)		—			—
August 31, 2010		9.95		.17		.04			.21			(.20	)
August 31, 2009		11.82		.20		(1.89	)		(1.69	)		(.18	)		—			—
August 31, 2008		13.77		.64		(2.01	)		(1.37	)		(.58	)		—			—
August 31, 2007		12.79		.37		.97			1.34			(.36	)		—			—

Class R
February 29, 2012(1)		11.19		.11		.96			1.07			(.18	)		—			—
August 31, 2011		9.93		.15		1.21			1.36			(.10	)		—			—
August 31, 2010		9.94		.10		.05			.15			(.16	)
August 31, 2009		11.77		.10		(1.84	)		(1.74	)		(.09	)		—			—
August 31, 2008		13.67		.47		(1.88	)		(1.41	)		(.49	)		—			—
August 31, 2007		12.69		.31		.94			1.25			(.27	)		—			—

Life Solutions Income and Growth Fund

Institutional Class
February 29, 2012(1)		10.84		.13		.58			.71			(.38	)		—			—
August 31, 2011		10.41		.27		.80			1.07			(.64	)		—			—
August 31, 2010		10.16		.33		.21			.54			(.29	)
August 31, 2009		11.04		.28		(.55	)		(.27	)		(.59	)		(.01	)		—
August 31, 2008		12.51		.50		(1.29	)		(.79	)		(.52	)		(.16	)		—
August 31, 2007		12.42		.47		.06			.53			(.44	)		—			—

Class R
February 29, 2012(1)		10.67		.12		.57			.69			(.21	)		—			—
August 31, 2011		10.28		.26		.72			.98			(.59	)		—			—
August 31, 2010		10.07		.23		.25			.48			(.27	)
August 31, 2009		10.97		.15		(.49	)		(.34	)		(.55	)		(.01	)		—
August 31, 2008		12.39		.44		(1.25	)		(.81	)		(.45	)		(.16	)		—
August 31, 2007		12.31		.37		.08			.45			(.37	)		—			—


(1)		For the six months ended February 29, 2012 (unaudited).
(a)		Average daily shares outstanding were used for this calculation.
(b)		Recognition of net investment income by the Funds is affected by the timing of the declaration of dividends by the Underlying Funds in which the Funds invest.
(c)		The calculation includes only those expenses charged directly to the Funds and does not include expenses charged to the Underlying Funds in which the Funds invest.
(d)		May reflect amounts waived and /or reimbursed by the investment advisor and for certain funds, custody credit arrangements.

See accompanying notes which are an integral part of the financial statements.


20		Financial Highlights


										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return			(000)		Net(c)(d)		Gross(c)		Net Assets(c)(d)		Turnover Rate(b)



	(1.70	)		10.63		8.25			2,545		.45		2.50		1.85		15
	(.26	)		11.51		12.48			33,315		.45		.59		2.11		37
	(.21	)		10.47		3.66			25,565		.45		.74		2.18		74
	(.29	)		10.30		(7.79	)		24,411		.45		.78		2.37		73
	(.55	)		11.52		(8.73	)		27,962		.44		.45		4.27		94
	(.42	)		13.18		7.51			58,036		.33		.33		3.31		31


	(1.68	)		10.63		7.99			553		.92		2.97		2.02		15
	(.15	)		11.52		11.65			455		1.11		1.26		1.65		37
	(.15	)		10.45		3.09			599		1.10		1.39		1.52		74
	(.16	)		10.28		(8.42	)		989		1.06		1.38		1.64		73
	(.48	)		11.42		(9.10	)		965		.98		.99		3.71		94
	(.35	)		13.05		6.91			1,891		.90		.90		2.40		31




	(.24	)		12.03		9.98			1,942		.45		8.06		1.23		18
	(.20	)		11.18		14.31			1,841		.45		4.53		2.25		50
	(.20	)		9.96		2.05			4,583		.45		3.15		1.59		73
	(.18	)		9.95		(14.12	)		5,282		.45		2.30		2.21		82
	(.58	)		11.82		(10.38	)		11,379		.45		.72		4.97		75
	(.36	)		13.77		10.53			37,358		.45		.45		2.74		30


	(.18	)		12.08		9.69			249		.96		8.56		1.01		18
	(.10	)		11.19		13.73			258		.97		5.05		1.30		50
	(.16	)		9.93		1.46			204		1.03		3.74		.98		73
	(.09	)		9.94		(14.65	)		483		1.17		3.02		1.10		82
	(.49	)		11.77		(10.65	)		591		.85		1.12		3.72		75
	(.27	)		13.67		9.86			1,041		1.01		1.01		2.37		30




	(.38	)		11.17		6.81			1,002		.45		14.82		1.20		29
	(.64	)		10.84		10.52			886		.45		11.66		2.54		73
	(.29	)		10.41		5.39			878		.45		5.37		3.13		89
	(.61	)		10.16		(1.73	)		3,268		.45		3.52		2.99		81
	(.68	)		11.04		(6.59	)		7,604		.45		1.10		4.33		99
	(.44	)		12.51		4.30			19,939		.45		.70		3.67		32


	(.21	)		11.15		6.54			148		.90		15.27		1.11		29
	(.59	)		10.67		9.74			207		1.02		12.23		2.43		73
	(.27	)		10.28		4.84			710		.99		5.91		2.25		89
	(.56	)		10.07		(2.42	)		674		1.30		4.37		1.62		81
	(.61	)		10.97		(6.80	)		248		.86		1.53		3.81		99
	(.37	)		12.39		3.66			428		1.02		1.27		3.00		32

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		21

SSgA
Life Solutions Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on three funds: the SSgA Life Solutions Balanced Fund, SSgA Life Solutions Growth Fund and SSgA Life Solutions Income and Growth Fund, each a “Fund” and collectively referred to as the “Funds.” Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (“the Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.

Effective July 31, 2003 the Life Solutions Funds began offering Class R shares which may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

The Funds are designed primarily for tax-advantaged retirement accounts and other long-term investment strategies. Each Fund allocates its assets by investing in shares of a combination of the Investment Company’s portfolios (the “Underlying Funds”) and exchange-traded funds (the “Underlying ETFs”) that are advised or sponsored by SSgA Funds Management, Inc. (“SSgA FM” or the “Advisor”) or its affiliates. This arrangement is referred to as a “fund of funds.” The table below illustrates the equity, bond and short-term fund asset allocation ranges for each Fund.


	Asset Allocation Ranges
	Balanced	Growth	Income and
Asset Class/Underlying Fund	Fund	Fund	Growth Fund

Equities*	40 - 80%	60 - 100%	20 - 60%
US Equities SPDR S&P Dividend ETF SPDR S&P MidCap 400 ETF SSgA Enhanced Small Cap Fund SSgA S&P 500 Index Fund Tuckerman Active REIT
International Equities SSgA Emerging Markets Fund SSgA International Stock Selection Fund

Bonds	20 - 60%	0 - 40%	40 - 80%
SPDR Barclays Capital Aggregate Bond ETF SPDR Barclays Capital Intermediate Term Corporate Bond ETF SPDR Barclays Capital Short Term Corporate Bond ETF SPDR Barclays Capital TIPS ETF SSgA Bond Market Fund SSgA High Yield Bond Fund

Short Term Assets	0 - 20%	0 - 20%	0 - 20%
SSgA Prime Money Market Fund


	*	International equities are included in the total equity exposure indicated above and should not exceed the listed percentages.

Objectives of the Underlying Funds

The Life Solutions Funds are comprised of various combinations of the Underlying Funds and Underlying ETFs. The Board has approved investment in all of the Underlying Funds and Underlying ETFs presented above. The investment objectives of the Underlying Funds and Underlying ETFs utilized by the Life Solutions Funds are listed below.


22		Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

SPDR Barclays Capital Aggregate Bond ETF

Seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. dollar denominated investment grade bond market.

SPDR Barclays Capital Intermediate Term Corporate Bond ETF

Seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the intermediate term (1-10 years) sector of the United States corporate bond market.

SPDR Barclays Capital Short Term Corporate Bond ETF

Seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the short-term U.S. corporate bond market.

SPDR Barclays Capital TIPS ETF

Seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the inflation protected sector of the United States Treasury market.

SPDR S&P Dividend ETF

Seeks to provide investment results that, before expenses, correspond generally to the total return performance of an index that tracks the performance of publicly traded issuers that have historically followed a policy of making dividend payments.

SPDR S&P MidCap 400 ETF

Seeks to provide investment results that, before expenses, correspond to the price and yield performance of the S&P MidCap 400 Index^tm.

SSgA Enhanced Small Cap Fund

Seeks to maximize total return through investment primarily in small capitalization equity securities.

SSgA S&P 500 Index Fund

Seeks to replicate the total return of the S&P 500 Index.

SSgA Emerging Markets Fund

Seeks to provide maximum total return, primarily through capital appreciation by investing primarily in securities of foreign issuers.

SSgA International Stock Selection Fund

Seeks to provide long-term capital growth by investing primarily in securities of foreign issuers.

SSgA Bond Market Fund

Seeks to maximize total return by investing in fixed income securities, including, but not limited to, those represented by the Barclays Capital U.S. Aggregate Bond Index.

SSgA High Yield Bond Fund

Seeks to maximize total return by investing primarily in fixed income securities, including, but not limited to, those represented by the Barclays Capital U.S. Corporate High-Yield Bond Index.

SSgA Prime Money Market Fund

Seeks to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value, by investing in dollar-denominated securities.


Notes to Financial Statements		23

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


2.		Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

Investments in Underlying Funds are valued at the net asset value (“NAV”) per share of each Underlying Fund as of the close of regular trading on the New York Stock Exchange. Underlying ETFs are valued at the last sales price as of the close of the customary trading session on the exchange where the Underlying ETF is principally traded, or lacking any sales price on a particular day, the Underlying ETF may be valued at the closing bid price on that day.

The Underlying Funds value portfolio securities according to Securities Valuation Procedures approved by the Board, including Market Value Procedures and Fair Value Procedures described below.


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Distributions of income and capital gains are recorded from the Underlying Funds and Underlying ETFs on the ex-dividend date.

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (or losses) of the other Funds.


24		Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The following Funds had net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first. At February 29, 2012, the capital loss carryforwards and expiration dates are as follows:


	Expiration Year
	8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2016		8/31/2017		8/31/2018		8/31/2019		Total
Life Solutions Balanced Fund	$	609,595	$	—	$	—	$	—	$	—	$	2,853,693	$	3,807,786	$	—	$	7,271,074
Life Solutions Growth Fund		—		—		—		—		—		33,733		2,852,199		—		2,885,932
Life Solutions Income & Growth Fund		—		—		—		—		—		1,316,902		433,362		—		1,750,264

As of February 29, 2012, the Funds’ aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:


					Life Solutions
	Life Solutions		Life Solutions		Income and
	Balanced Fund		Growth Fund		Growth Fund
Cost of Investments for Tax Purposes	$	2,879,068	$	1,817,596	$	1,068,315

Gross Tax Unrealized Appreciation		238,924		396,962		108,553
Gross Tax Unrealized Depreciation		—		—		—

Net Unrealized Appreciation (Depreciation)	$	238,924	$	396,962	$	108,553

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. Dividends are generally declared and paid quarterly. Capital gain distributions are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences primarily relate to wash sale deferrals, capital loss carryforwards, and post-October losses. Permanent differences between book and tax accounting are reclassified to paid-in-capital.

Expenses

Most expenses can be directly attributed to each fund. Expenses of the Investment Company which cannot be directly attributed to a fund are allocated among the funds based principally on their relative average net assets. Expenses included in the accompanying Statements of Operations reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds and Underlying ETFs. Because the Underlying Funds and Underlying ETFs have varied expense and fee levels and the Funds may own different proportions of Underlying Funds and Underlying ETFs at different times, the amount of fees and expenses incurred indirectly by the Funds will vary.


Notes to Financial Statements		25

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The Life Solutions Funds offer Institutional and Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Guarantees


3.		Investment Transactions

Securities

During the period ended February 29, 2012, purchases and sales of the Underlying Funds and Underlying ETFs, excluding money market funds, aggregated to the following:


	Purchases		Sales
Life Solutions Balanced Fund	$	1,142,651	$	30,811,795
Life Solutions Growth Fund		381,290		459,994
Life Solutions Income and Growth Fund		324,280		321,810


4.		Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to a written investment advisory agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations.

The Funds are not charged a fee by the Advisor. However, each Fund pays advisory fees to the Advisor indirectly as a shareholder in the Underlying Funds and Underlying ETFs. The Funds will bear their proportionate share of any investment advisory fees and other expenses paid by the Underlying Funds and Underlying ETFs. Each Underlying Fund and Underlying ETF pays the Advisor a fee, calculated daily and paid monthly that on an annual basis is equal to a certain percentage of each Underlying Fund’s and Underlying ETF’s average daily net assets.

If the total expenses of the Institutional Class are above its cap, the Advisor will reimburse for both Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class.

The Advisor has contractually agreed to reimburse the Institutional Class and Class R for all expenses of the Institutional Class in excess of 0.45% of average daily net assets on an annual basis until December 31, 2011 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the reimbursement for the Balanced Fund Institutional Class and Class R for the period ended February 29, 2012 was $71,703 and $4,915, respectively. The total amount of the reimbursement for the Growth Fund Institutional Class and Class R for the period ended February 29, 2012 was $69,480 and $9,441, respectively. The total amount of the reimbursement for the Income and Growth Fund Institutional Class and Class R for the period ended February 29, 2012 was $67,720 and $10,772, respectively.

The Advisor does not have the ability to recover amounts reimbursed from prior periods.


26		Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The Investment Company also has a contract with State Street Bank and Trust Company (“State Street”) to provide custody and fund accounting services to the Funds. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 29, 2012, $552 of the Central Fund’s net assets represents investments by these Funds, and $27,974,063 represents the investments of other Investment Company funds not presented herein.

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

The Funds have entered into arrangements with State Street Corporation whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. During the period, the Funds’ custodian fees were not reduced under these arrangements.

Administrator

Distributor and Shareholder Servicing

The Investment Company has adopted a distribution agreement dated March 1, 2002, as amended, between the Investment Company and the Distributor, to promote and offer shares of the Investment Company. The Distributor may enter into agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statements of Operations.

Institutional Class

Each Fund has Shareholder Service Agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays a maximum of 0.13%, based upon the average


Notes to Financial Statements		27

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

daily value of all Institutional Class shares held by or for customers of these Agents. For the period ended February 29, 2012, each Institutional Class paid the following shareholder servicing expenses to the Agents:


			High Net
	Global		Worth
	Markets		Services
Life Solutions Balanced Fund	$	23	$	525
Life Solutions Growth Fund		16		6
Life Solutions Income and Growth Fund		11		2

Each Institutional Class did not incur any expenses from Fiduciary Investors Services and High Net Worth Services during the period.

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Institutional Class on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of the Institutional Class on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the plan is in effect. The class’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of each class’ shareholders have the right, however, to terminate the Plan and all payments thereunder at anytime. The Institutional Class will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuance.

Class R

The Investment Company has adopted a distribution plan for the Class R Shares pursuant to Rule 12b-1 (the “R Plan”) under the 1940 Act. Under the R Plan, each Fund pays the Distributor a fee not to exceed 0.70% of the Fund’s daily net asset value on an annual basis, for distribution, shareholder and administrative services provided to the Fund by the Distributor and financial intermediaries.

The Distributor pays financial intermediaries for shareholder and administrative services provided to a fund out of the fee the Distributor receives from the fund. Fees paid to the financial intermediaries providing these services are not permitted by the R Plan to exceed 0.65% of a class’ average daily net asset value on an annual basis. Any payments that are required to be made to the Distributor or financial intermediaries that cannot be made because of the limitations contained in the R Plan may be carried forward and paid in the following two fiscal years as long as the R Plan is in effect.

Under the R Plan, the Funds have adopted a distribution agreement with the Distributor. For these services, Class R pays the Distributor up to 0.05% of the daily net asset value. For the period ended February 29, 2012, this amounted to:


	Global Markets
Life Solutions Balanced Fund	$	120
Life Solutions Growth Fund		62
Life Solutions Income and Growth Fund		37

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.


28		Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


					Life Solutions
	Life Solutions		Life Solutions		Income and
	Balanced Fund		Growth Fund		Growth Fund
Fund accounting fees	$	2,332	$	2,342	$	4,151
Shareholder servicing fees		1,317		838		287
Transfer agent fees		10,044		10,068		10,114

	$	13,693	$	13,248	$	14,552

Transactions with Affiliated Companies

A company is an affiliate of the Fund within the meaning of the Investment Company Act of 1940 if, among other things, the Fund owns at least 5% of the voting securities of the company or if the Fund and the company are under common control. Each Underlying Fund and Underlying ETF is an affiliate of the Fund. Transactions with the Underlying Funds and Underlying ETFs during the period ended February 29, 2012 were as follows:


	Market		Purchases		Sales		Realized Gain			Income
	Value		Cost		Cost		(Loss)			Distributions
Life Solutions Balanced Fund
SPDR Barclays Capital Aggregate Bond ETF	$	87,289	$	—	$	806,833	$	74,894		$	3,682
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		119,756		29,853		857,136		11,105			4,042
SSPDR S&P Dividend ETF		60,942		—		613,857		(21,258	)		6,290
SPDR S&P MidCap 400 ETF Trust		202,544		—		2,010,871		(315,122	)		4,086
SSgA Bond Market Fund		806,298		218,845		9,225,050		493,125			40,613
SSgA Emerging Markets Fund		68,113		194,262		164,468		(15,417	)		499
SSgA Enhanced Small Capital Fund		92,408		63,848		506,506		123,083			255
SSgA High Yield Bond Fund		66,865		67,430		355,868		(17,868	)		3,667
SSgA International Stock Selection Fund		251,160		55,805		1,816,281		413,164			7,964
SSgA Prime Money Market Fund		212		7,434		12,880		—			—
SSgA S&P 500 Index Fund		1,298,781		151,919		11,393,608		2,030,166			81,035
SSgA Tuckerman Active REIT Fund		63,525		360,689		301,561		(16,116	)		219

	$	3,117,893	$	1,150,085	$	28,064,919	$	2,759,756		$	152,352

Life Solutions Growth Fund
SPDR Barclays Capital Aggregate Bond ETF	$	25,347	$	—	$	—	$	70		$	465
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		83,131		17,778		—		169			1,144
SPDR S&P Dividend ETF		44,169		—		9,097		733			913
SPDR S&P MidCap 400 ETF Trust		170,563		—		17,723		(1,708	)		823
SSSgA Bond Market Fund		178,867		99,535		181,759		4,282			3,886
SSgA Emerging Markets Fund		45,204		42,007		—		—			310
SSgA Enhanced Small Capital Fund		98,158		41,548		17,234		7,483			440
SSgA High Yield Bond Fund		44,944		43,052		22,071		(1,006	)		844
SSgA International Stock Selection Fund		286,957		49,601		32,680		5,704			9,626
SSgA Prime Money Market Fund		337		4,819		4,487		—			—
SSgA S&P 500 Index Fund		1,193,728		47,621		128,957		34,746			11,493
SSgA Tuckerman Active REIT Fund		43,154		40,148		—		—			148

	$	2,214,559	$	386,109	$	414,008	$	50,473		$	30,092


Notes to Financial Statements		29

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


	Market		Purchases		Sales		Realized Gain			Income
	Value		Cost		Cost		(Loss)			Distributions
Life Solutions Income and Growth Fund
SPDR Barclays Capital Aggregate Bond ETF	$	82,743	$	5,496	$	—	$	215		$	1,425
SPDR Barclays Capital Intermediate Term Corporate Bond ETF		45,654		12,076		—		86			596
SSPDR S&P Dividend ETF		29,912		—		3,538		285			569
SPDR S&P MidCap 400 ETF Trust		48,859		—		1,772		(106	)		228
SSgA Bond Market Fund		494,637		149,269		175,889		2,828			7,704
SSgA Emerging Markets Fund		23,950		23,640		1,511		33			142
SSgA Enhanced Small Capital Fund		23,111		22,573		7,967		2,209			12
SSgA High Yield Bond Fund		23,747		22,913		11,962		(622	)		455
SSgA International Stock Selection Fund		35,448		17,423		10,703		3,439			842
SSgA Prime Money Market Fund		3		985		2,246		—			—
SSgA S&P 500 Index Fund		345,420		49,022		83,497		16,604			3,475
SSgA Tuckerman Active REIT Fund		23,383		21,868		—		—			68

	$	1,176,867	$	325,265	$	299,085	$	24,971		$	15,516


5.		Fund Share Transactions


	(amounts in thousands)
	For the Periods Ended
	Shares				Dollars			Shares			Dollars
Life Solutions Balanced Fund	February 29, 2012							August 31, 2011
Institutional Class
Proceeds from shares sold		12			$	118			526		$	6,142
Proceeds from reinvestment of distributions		37				384			58			661
Payments for shares redeemed		(2,704	)			(29,967	)		(131	)		(1,524	)

		(2,655	)			(29,465	)		453			5,279


Class R
Proceeds from shares sold		7				73			8			98
Proceeds from reinvestment of distributions		7				70			1			8
Payments for shares redeemed		(2	)			(14	)		(27	)		(309	)

		12				129			(18	)		(203	)

Total net increase (decrease)		(2,643	)		$	(29,336	)		435		$	5,076

Life Solutions Growth Fund
Institutional Class
Proceeds from shares sold		9			$	95			39		$	436
Proceeds from reinvestment of distributions		4				40			8			93
Payments for shares redeemed		(16	)			(173	)		(342	)		(3,877	)

		(3	)			(38	)		(295	)		(3,348	)


Class R
Proceeds from shares sold		2		��		27			6			66
Proceeds from reinvestment of distributions		—				4			—			2
Payments for shares redeemed		(5	)			(58	)		(4	)		(40	)

		(3	)			(27	)		2			28

Total net increase (decrease)		(6	)		$	(65	)		(293	)	$	(3,320	)


30		Notes to Financial Statements

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
Life Solutions Income and Growth Fund	February 29, 2012						August 31, 2011
Institutional Class
Proceeds from shares sold		14		$	146			30		$	331
Proceeds from reinvestment of distributions		3			31			5			56
Payments for shares redeemed		(9	)		(94	)		(38	)		(418	)

		8			83			(3	)		(31	)


Class R
Proceeds from shares sold		3			26			11			112
Proceeds from reinvestment of distributions		—			3			3			34
Payments for shares redeemed		(9	)		(93	)		(63	)		(674	)

		(6	)		(64	)		(49	)		(528	)

Total net increase (decrease)		2		$	19			(52	)	$	(559	)


6.		Interfund Lending Program


7.		Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.


8.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review, the following items were noted to require disclosure within the financial statements.

The Board has approved a Plan of Liquidation and Termination (the “Plan”) with respect to the SSgA Life Solutions Balanced Fund, SSgA Life Solutions Growth Fund and SSgA Life Solutions Income and Growth Fund, pursuant to which each Fund is expected to be liquidated and terminated on or prior to May 15, 2012 (the “Liquidation Date”). During the period between the effective date of the Plan and the Liquidation Date, each Fund will engage in business and activities solely for the purposes of


Notes to Financial Statements		31

SSgA
Life Solutions Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

winding up its business and affairs and making a distribution of its assets to shareholders, and may not pursue or achieve its investment objective.

Prior to the Liquidation Date, each Fund will discontinue payments of any 12b-1 distribution fees.


32		Notes to Financial Statements

SSgA
Life Solutions Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


Shareholder Requests for Additional Information		33

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial
Center
One Lincoln Street
Boston, MA
02111-2900

Trustee since November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired);

• March 2007 to September 2010, member, IDC Board of Governors;

• September 2007 to September 2010, member Investment Company Institute Board of Governors;

• September 2008 to September 2010, member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell Trust Company (Retired).

None


34		Disclosure of Information about Fund Trustees and Officers

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall
Born December 12, 1942

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Certified Financial Planner and Member, Financial Planners Association; and

• Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Independent Chairman of the Board since January 2009

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

None

Member (ex-officio), Audit Committee

Member (ex-officio), Governance Committee

Member (ex-officio), Valuation Committee

Member (ex-officio), Qualified Legal and Compliance Committee

• 1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);
• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc);
• January 2009 to Present, Independent Director, SSgA Fixed Income plc; and
• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.


Disclosure of Information about Fund Trustees and Officers		35

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Chairman, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None

Bruce D. Taber
Born April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit Committee

Member, Governance Committee

Chairman, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund plc;

• Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


36		Disclosure of Information about Fund Trustees and Officers

SSgA
Life Solutions Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age,	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


Disclosure of Information about Fund Trustees and Officers		37

SSgA
Life Solutions Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Officers and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


38		Fund Management and Service Providers

LSSAR-02/12

INSTITUTIONAL MONEY MARKET FUNDS

U.S. Treasury Money Market Fund
Prime Money Market Fund

Semiannual Report
February 29, 2012

SSgA Funds

Institutional Money Market Funds

Semiannual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

U.S. Treasury Money Market Fund		3
Prime Money Market Fund		7
Notes to Schedules of Investments		14
Statements of Assets and Liabilities		15
Statements of Operations		16
Statements of Changes in Net Assets		17
Financial Highlights		18
Notes to Financial Statements		20
Shareholder Requests for Additional Information		26
Disclosure of Information about Fund Trustees and Officers		27
Fund Management and Service Providers		31

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

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SSgA
U.S. Treasury Money Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual Funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other Funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different Funds. In addition, if these transactional costs were included, your costs would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,000.00	$	1,024.66
Expenses Paid During Period*	$	0.20	$	0.20


*	Expenses are equal to the Fund’s annualized expense ratio of 0.04% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


U.S. Treasury Money Market Fund		3

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SSgA
U.S. Treasury Money Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		% (#)			Maturity	$

Treasury Debt - 65.8%
U.S. Treasury Bill		300,000		0	.030	03/01/12		300,000
U.S. Treasury Bill		182,000		0	.013	03/08/12		182,000
U.S. Treasury Bill		118,000		0	.015	03/08/12		118,000
U.S. Treasury Bill		194,000		0	.010	03/15/12		193,999
U.S. Treasury Bill		250,000		0	.020	04/12/12		249,994
U.S. Treasury Bill		250,000		0	.030	04/19/12		249,990
U.S. Treasury Bill		250,000		0	.043	04/26/12		249,984
U.S. Treasury Bill		250,000		0	.055	05/03/12		249,976
U.S. Treasury Bill		150,000		0	.080	05/10/12		149,977
U.S. Treasury Bill		250,000		0	.095	05/17/12		249,949
U.S. Treasury Bill		205,000		0	.090	05/24/12		204,957
U.S. Treasury Bill		75,000		0	.100	07/12/12		74,972
U.S. Treasury Bill		50,000		0	.100	07/19/12		49,981
U.S. Treasury Bill		75,000		0	.100	07/26/12		74,969
U.S. Treasury Bill		50,000		0	.100	08/09/12		49,978
U.S. Treasury Bill		75,000		0	.125	08/16/12		74,956
U.S. Treasury Bill		130,000		0	.125	08/23/12		129,921
U.S. Treasury Note		106,000		0	.015	03/15/12		106,055
U.S. Treasury Note		25,000		0	.091	05/15/12		25,066
U.S. Treasury Note		75,000		0	.157	08/15/12		76,450


Total Treasury Debt (amortized cost $3,061,174)								3,061,174


Total Investments - 65.8% (amortized cost $3,061,174)								3,061,174


Repurchase Agreements - 28.3%

Treasury Repurchase Agreement - 28.3%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $192,141 dated February 29, 2012 at 0.190% to be repurchased at $192,142 on March 1, 2012, collateralized by: $141,851 par various United States Treasury Obligations valued at $195,984								192,141
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $250,000 dated February 28, 2012 at 0.110% to be repurchased at $250,005 on March 6, 2012, collateralized by: $214,499 par various United States Treasury Obligations valued at $255,000								250,000
Agreement with Credit Suisse Securities, LLC and JPMorgan Chase & Co. (Tri-Party) of $150,000 dated February 29, 2012 at 0.150% to be repurchased at $150,001 on March 1, 2012, collateralized by: $118,043 par various United States Treasury Obligations valued at $153,003								150,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 29, 2012 at 0.170% to be repurchased at $150,001 on March 1, 2012, collateralized by: $152,914 par various United States Treasury Obligations valued at $153,000								150,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 23, 2012 at 0.080% to be repurchased at $50,001 on March 1, 2012, collateralized by: $38,353 par various United States Treasury Obligations valued at $51,000								50,000


U.S. Treasury Money Market Fund		5

SSgA
U.S. Treasury Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Value
	$
Agreement with HSBC Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $150,000 dated February 29, 2012 at 0.160% to be repurchased at $150,001 on March 1, 2012, collateralized by: $144,410 par various United States Treasury Obligations valued at $153,002		150,000
Agreement with HSBC Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $50,000 dated February 29, 2012 at 0.120% to be repurchased at $50,000 on March 1, 2012, collateralized by: $50,620 par various United States Treasury Obligations valued at $51,004		50,000
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $25,000 dated February 29, 2012 at 0.170% to be repurchased at $25,000 on March 1, 2012, collateralized by: $25,516 par various United States Treasury Obligations valued at $25,500		25,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $250,000 dated February 23, 2012 at 0.080% to be repurchased at $250,004 on March 1, 2012, collateralized by: $234,588 par various United States Treasury Obligations valued at $255,000		250,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 29, 2012 at 0.160% to be repurchased at $50,000 on March 1, 2012, collateralized by: $50,303 par various United States Treasury Obligations valued at $51,000		50,000


Total Treasury Repurchase Agreement (identified cost $1,317,141)		1,317,141


Total Repurchase Agreements (identified cost $1,317,141)		1,317,141


Total Investments and Repurchase Agreements - 94.1%* (cost $4,378,315) (†)		4,378,315

Other Assets and Liabilities, Net - 5.9%		272,191


Net Assets - 100.0%		4,650,506


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


	% of
	Net
Categories	Assets
Treasury Debt		65.8
Repurchase Agreements		28.3

Total Investments		94.1
Other Assets and Liabilities, Net		5.9

		100.0

See accompanying notes which are an integral part of the financial statements.


6		U.S. Treasury Money Market Fund

SSgA
Prime Money Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,000.40	$	1,023.87
Expenses Paid During Period*	$	0.99	$	1.01


*	Expenses are equal to the Fund’s annualized expense ratio of 0.20% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Prime Money Market Fund		7

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SSgA
Prime Money Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		%			Maturity	$

Asset Backed Commercial Paper - 5.6%
Aspen Funding Corp. (λ)		50,000		0	.396	04/05/12		49,981
Kells Funding LLC (λ)		150,000		0	.530	03/07/12		149,987
Kells Funding LLC (λ)		100,000		0	.497	03/08/12		99,991
Kells Funding LLC (λ)		100,000		0	.420	03/14/12		99,985
Kells Funding LLC (λ)		75,000		0	.416	05/08/12		74,942
Solitaire Funding LLC (λ)		100,000		0	.370	03/05/12		99,996
Solitaire Funding LLC (λ)		35,000		0	.335	03/19/12		34,994
Solitaire Funding LLC (λ)		40,000		0	.420	05/08/12		39,969


Total Asset Backed Commercial Paper (amortized cost $649,845)								649,845


Certificate of Deposit - 40.8%
Bank of Montreal (next reset date 04/10/12) (Ê)		50,000		0	.632	12/05/12		50,000
Bank of Nova Scotia (Ê)		50,000		0	.280	04/04/12		50,000
Bank of Nova Scotia		30,000		0	.270	04/05/12		30,000
Bank of Nova Scotia (next reset date 05/16/12) (Ê)		45,000		0	.647	09/14/12		45,000
Bank of Tokyo - Mitsubishi		300,000		0	.180	03/07/12		300,000
Bank of Tokyo - Mitsubishi		75,000		0	.170	03/26/12		75,000
Barclays Bank		200,000		0	.520	05/04/12		200,000
Barclays Bank		250,000		0	.440	05/25/12		250,000
Credit Suisse		50,000		0	.560	04/04/12		50,000
Credit Suisse		50,000		0	.400	04/13/12		50,000
Deutsche Bank AG (next reset date 03/05/12) (Ê)		75,000		0	.462	04/03/12		75,000
Deutsche Bank AG		150,000		0	.310	04/23/12		150,000
Deutsche Bank AG		150,000		0	.370	05/23/12		150,000
DnB Bank ASA		47,000		0	.400	04/13/12		47,000
ING Bank NV		200,000		0	.450	03/12/12		200,000
ING Bank NV		100,000		0	.520	04/02/12		100,000
ING Bank NV		150,000		0	.510	06/01/12		150,000
Lloyds TSB Bank		175,000		0	.390	03/12/12		175,000
Lloyds TSB Bank		125,000		0	.390	03/13/12		125,000
Lloyds TSB Bank		100,000		0	.370	03/26/12		100,000
National Australia Bank Ltd.		150,000		0	.355	03/23/12		150,000
National Australia Bank Ltd. (next reset date 03/09/12) (Ê)		200,000		0	.337	06/07/12		200,000
National Bank of Canada (next reset date 03/27/12) (Ê)		25,000		0	.364	07/25/12		25,000
Nordea Bank AB		25,000		0	.250	03/05/12		25,000
Nordea Bank AB		100,000		0	.420	04/09/12		100,000
Nordea Bank AB		100,000		0	.390	04/11/12		100,000
Rabobank Nederland NV (next reset date 03/02/12) (Ê)		125,000		0	.364	04/02/12		125,000
Rabobank Nederland NV (Ê)		50,000		0	.520	04/03/12		50,000
Rabobank Nederland NV (next reset date 03/14/12) (Ê)		46,000		0	.310	05/14/12		46,000
Rabobank Nederland NV (next reset date 03/14/12) (Ê)		46,000		0	.320	05/14/12		46,000
Royal Bank of Scotland		32,000		0	.390	03/26/12		32,000
Royal Bank of Scotland		32,000		0	.460	04/16/12		32,000
Royal Bank of Scotland		31,000		0	.500	04/23/12		31,000
Royal Bank of Scotland		32,000		0	.520	05/01/12		32,000
Royal Bank of Scotland		91,000		0	.510	05/14/12		91,000
Skandinaviska Enskilda Banken AB		145,000		0	.470	03/06/12		145,000
Skandinaviska Enskilda Banken AB		110,000		0	.470	03/09/12		110,000
Skandinaviska Enskilda Banken AB		125,000		0	.570	05/01/12		125,000


Prime Money Market Fund		9

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		%			Maturity	$
Standard Chartered Bank		150,000		0	.540	04/16/12		150,000
Sumitomo Mitsui Banking Corp.		150,000		0	.180	03/07/12		150,000
Sumitomo Mitsui Banking Corp.		75,000		0	.170	03/26/12		75,000
Svenska Handelsbanken AB		27,000		0	.220	03/05/12		27,000
Svenska Handelsbanken AB		50,000		0	.210	03/13/12		50,000
Swedbank AB		120,000		0	.500	05/07/12		120,000
UBS AG		125,000		0	.380	03/12/12		125,000
UBS AG (next reset date 03/27/12) (Ê)		130,000		0	.744	07/27/12		130,000
UBS AG (next reset date 04/30/12) (Ê)		130,000		0	.811	07/30/12		130,000


Total Certificate of Deposit (amortized cost $4,794,000)								4,794,000


Financial Company Commercial Paper - 8.0%
Australia & New Zealand Banking Group Ltd. (next reset date 03/07/12) (Ê)(λ)		38,000		0	.533	06/07/12		38,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/08/12) (Ê)(λ)		29,000		0	.540	06/08/12		29,000
DnB Bank ASA (λ)		38,000		0	.406	04/18/12		37,980
DnB Bank ASA (next reset date 04/30/12) (Ê)(λ)		73,000		0	.621	07/31/12		73,000
General Electric Capital Corp.		150,000		0	.280	04/05/12		149,959
General Electric Co.		97,000		0	.150	03/27/12		96,990
HSBC Bank PLC (next reset date 03/02/12) (Ê)(λ)		40,000		0	.374	08/02/12		40,000
Mitsubishi UFJ Trust & Banking Corp. (λ)		125,000		0	.192	03/19/12		124,988
NRW Bank (λ)		125,000		0	.243	03/12/12		124,991
Sumitomo Mitsui Banking Corp. (λ)		150,000		0	.180	03/06/12		149,996
Toyota Motor Credit Corp.		75,000		0	.250	05/15/12		74,961


Total Financial Company Commercial Paper (amortized cost $939,865)								939,865


Other Note - 7.3%
Commonwealth Bank of Australia (next reset date 04/27/12) (Ê)(λ)		49,000		0	.706	11/26/12		49,000
Nordea Bank AB (next reset date 05/18/12) (Ê)(λ)		165,000		0	.663	11/16/12		165,000
Rabobank Nederland NV (next reset date 05/16/12) (Ê)(λ)		107,000		0	.637	12/14/12		107,000
Royal Bank of Canada		250,000		0	.090	03/01/12		250,000
Svenska Handelsbanken AB (Ê)(λ)		35,000		0	.690	05/08/12		35,000
Svenska Handelsbanken AB (Ê)(λ)		200,000		0	.595	05/16/12		200,000
Westpac Banking Corp. (next reset date 04/30/12) (Ê)		55,000		0	.703	11/27/12		55,000


Total Other Note (amortized cost $861,000)								861,000


Total Investments - 61.7% (amortized cost $7,244,710)								7,244,710


10		Prime Money Market Fund

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Value
	$

Repurchase Agreements - 38.3%

Government Agency Repurchase Agreement - 24.7%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $450,000 dated February 29, 2012 at 0.210% to be repurchased at $450,003 on March 1, 2012, collateralized by: $574,041 par various United States Government Agency Mortgage Obligations valued at $459,000		450,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $450,000 dated February 29, 2012 at 0.190% to be repurchased at $450,002 on March 1, 2012, collateralized by: $639,560 par various United States Government Agency Mortgage Obligations valued at $459,000		450,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $250,000 dated February 28, 2012 at 0.140% to be repurchased at $250,007 on March 6, 2012, collateralized by: $417,795 par various United States Government Agency Mortgage Obligations valued at $255,034		250,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $350,000 dated February 29, 2012 at 0.200% to be repurchased at $350,002 on March 1, 2012, collateralized by: $1,009,401 par various United States Government Agency Mortgage Obligations valued at $357,000		350,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $100,000 dated February 27, 2012 at 0.150% to be repurchased at $100,003 on March 5, 2012, collateralized by: $148,870 par various United States Government Agency Mortgage Obligations valued at $102,000		100,000
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $400,000 dated February 29, 2012 at 0.190% to be repurchased at $400,002 on March 1, 2012, collateralized by: $607,878 par various United States Government Agency Mortgage Obligations valued at $408,000		400,000
Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $450,000 dated February 29, 2012 at 0.200% to be repurchased at $450,003 on March 1, 2012, collateralized by: $450,606 par various United States Government Agency Mortgage Obligations valued at $459,000		450,000
Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $450,000 dated February 29, 2012 at 0.200% to be repurchased at $450,000 on March 1, 2012, collateralized by: $472,920 par various United States Government Agency Mortgage Obligations valued at $459,000		450,000


Total Government Agency Repurchase Agreement (identified cost $2,900,000)		2,900,000


Prime Money Market Fund		11

SSgA
Prime Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Value
	$

Other Repurchase Agreement - 2.5%
Agreement with Credit Suisse Securities, LLC and JPMorgan Chase & Co. (Tri-Party) of $300,000 dated February 29, 2012 at 0.250% to be repurchased at $300,000 on March 1, 2012, collateralized by: $324,012 par various common stock valued at $306,000		300,000


Total Other Repurchase Agreement (identified cost $300,000)		300,000


Treasury Repurchase Agreement - 11.1%
Agreement with Credit Suisse Securities, LLC and JPMorgan Chase & Co. (Tri-Party) of $450,000 dated February 29, 2012 at 0.150% to be repurchased at $450,002 on March 1, 2012, collateralized by: $443,911 par various United States Treasury Obligations valued at $459,000		450,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $100,000 dated February 29, 2012 at 0.170% to be repurchased at $100,000 on March 1, 2012, collateralized by: $101,289 par various United States Treasury Obligations valued at $102,000		100,000
Agreement with HSBC Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $250,000 dated February 29, 2012 at 0.120% to be repurchased at $250,001 on March 1, 2012, collateralized by: $241,987 par various United States Treasury Obligations valued at $255,005		250,000
Agreement with HSBC Securities, Inc. and JPMorgan Chase & Co. (Tri-Party) of $450,000 dated February 29, 2012 at 0.130% to be repurchased at $450,002 on March 1, 2012, collateralized by: $484,917 par various United States Treasury Obligations valued at $459,000		450,000
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 29, 2012 at 0.170% to be repurchased at $50,000 on March 1, 2012, collateralized by: $48,229 par various United States Treasury Obligations valued at $51,000		50,000


Total Treasury Repurchase Agreement (identified cost $1,300,000)		1,300,000


Total Repurchase Agreements (identified cost $4,500,000)		4,500,000


Total Investments and Repurchase Agreements - 100.0%* (cost $11,744,710) (†)		11,744,710

Other Assets and Liabilities, Net - 0.0%		2,396


Net Assets - 100.0%		11,747,106

See accompanying notes which are an integral part of the financial statements.


12		Prime Money Market Fund

SSgA
Prime Money Market Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


	% of
	Net
Categories	Assets
Asset Backed Commercial Paper		5.6
Certificate of Deposit		40.8
Financial Company Commercial Paper		8.0
Other Note		7.3
Repurchase Agreements		38.3

Total Investments		100.0
Other Assets and Liabilities, Net		—	^**

		100.0


**		Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.


Prime Money Market Fund		13

SSgA
Institutional Money Market Funds

Notes to Schedules of Investments — February 29, 2012 (Unaudited)

Footnotes


(Ê)		Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(†)		The identified cost for Federal income tax purposes.
(λ)		Restricted security (144A) or 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
*		Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
#		For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.


14		Notes to Schedules of Investments

SSgA
Institutional Money Market Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


	U.S. Treasury		Prime Money
Amounts in thousands	Money Market Fund		Market Fund

Assets
Investments, at identified cost	$	3,061,174	$	7,244,710

Investments, at market		3,061,174		7,244,710
Repurchase agreements at cost which approximates value		1,317,141		4,500,000
Cash		271,482		3,391
Receivables:
Dividends and interest		918		2,110
From affiliates		365		—
Prepaid expenses		59		170

Total assets		4,651,139		11,750,381


Liabilities
Payables:
Accrued fees to affiliates		591		2,138
Other accrued expenses		42		114
Income distribution		—		1,023

Total liabilities		633		3,275



Net Assets	$	4,650,506	$	11,747,106


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	23	$	88
Accumulated net realized gain (loss)		22		86
Shares of beneficial interest		4,651		11,747
Additional paid-in capital		4,645,810		11,735,185

Net Assets	$	4,650,506	$	11,747,106




Net Asset Value, offering and redemption price per share:
Net asset value per share: (a)	$	1.00	$	1.00
Net assets	$	4,650,505,700	$	11,747,105,999
Shares outstanding ($.001 par value)		4,650,542,227		11,746,994,332

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		15

SSgA
Institutional Money Market Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


	U.S. Treasury			Prime Money
Amounts in thousands	Money Market Fund			Market Fund

Investment Income
Interest	$	1,023		$	13,053

Total investment income		1,023			13,053


Expenses
Advisory fees		3,429			7,055
Administrative fees		703			1,469
Custodian fees		301			653
Distribution fees		388			1,207
Transfer agent fees		23			38
Professional fees		46			90
Registration fees		22			32
Shareholder servicing fees		652			1,457
Trustees’ fees		77			173
Insurance fees		44			110
Printing fees		13			32
Miscellaneous		29			47

Expenses before reductions		5,727			12,363
Expense reductions		(4,704	)		(2,976	)

Net expenses		1,023			9,387

Net investment income (loss)		—			3,666


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		1			36

Net Increase (Decrease) in Net Assets from Operations	$	1		$	3,702

See accompanying notes which are an integral part of the financial statements.


16		Statements of Operations

SSgA
Institutional Money Market Funds

Statements of Changes in Net Assets — For the Periods Ended


	U.S. Treasury					Prime Money
	Money Market Fund					Market Fund
	Period Ended					Period Ended
	February 29, 2012		Fiscal Year Ended			February 29, 2012			Fiscal Year Ended
Amounts in thousands	(Unaudited)		August 31, 2011			(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	—	$	20		$	3,666		$	13,491
Net realized gain (loss)		1		21			36			50

Net increase (decrease) in net assets from operations		1		41			3,702			13,541


Distributions
From net investment income		—		(20	)		(3,666	)		(13,491	)
From net realized gain		—		(9	)		—			—

Net decrease in net assets from distributions		—		(29	)		(3,666	)		(13,491	)


Share Transactions
Net increase (decrease) in net assets from share transactions		240,339		195,070			1,812,309			(2,108,620	)


Total Net Increase (Decrease) in Net Assets		240,340		195,082			1,812,345			(2,108,570	)

Net Assets
Beginning of period		4,410,166		4,215,084			9,934,761			12,043,331


End of period	$	4,650,506	$	4,410,166		$	11,747,106		$	9,934,761


Undistributed (overdistributed) net investment income included in net assets	$	23	$	23		$	88		$	88

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		17

SSgA
Institutional Money Market Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total from			Distributions			Distributions
	Beginning of		Investment			and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
U.S. Treasury Money Market Fund

February 29, 2012 (1)		1.0000		—			—			—			—			—
August 31, 2011		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—	(b)
August 31, 2010		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—
August 31, 2009		1.0000		.0011			.0001			.0012			(.0007	)		(.0005	)
August 31, 2008		1.0000		.0249			.0027			.0276			(.0276	)		—
August 31, 2007		1.0000		.0501			—	(b)		.0501			(.0501	)		—

Prime Money Market Fund

February 29, 2012 (1)		1.0000		.0004			—	(b)		.0004			(.0004	)		—
August 31, 2011		1.0000		.0012			—	(b)		.0012			(.0012	)		—
August 31, 2010		1.0000		.0013			—	(b)		.0013			(.0013	)		—	(b)
August 31, 2009		1.0000		.0094			.0010			.0104			(.0104	)		—	(b)
August 31, 2008		1.0000		.0376			(.0005	)		.0371			(.0371	)		—
August 31, 2007		1.0000		.0517			—	(b)		.0517			(.0517	)		—	(b)


(1)		For the six months ended February 29, 2012 (unaudited).
(a)		Average daily shares outstanding were used for this calculation.
(b)		Less than $.0001 per share.
(c)		May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005% per share.
(d)		Includes expenses related to the U.S. Treasury Guarantee Program.
(e)		Less than .005% of average net assets.

See accompanying notes which are an integral part of the financial statements.


18		Financial Highlights


										%			%		%
			$					$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average			to Average		Investment Income
Total			End of		Total			End of Period		Net Assets,			Net Assets,		to Average
Distributions			Period		Return			(000)		Net(c)			Gross		Net Assets(c)



	—			1.0000		—			4,650,506		.04			.25		—
	—	(b)		1.0000		—	(f)		4,410,166		.11			.25		—	(e)
	—	(b)		1.0000		—	(f)		4,215,084		.13			.25		—	(e)
	(.0012	)		1.0000		.12			4,120,408		.16			.25		.11
	(.0276	)		1.0000		2.80			4,769,072		.19			.24		2.49
	(.0501	)		1.0000		5.13			2,360,963		.20			.31		4.97



	(.0004	)		1.0000		.04			11,747,106		.20			.26		.08
	(.0012	)		1.0000		.12			9,934,761		.20			.25		.12
	(.0013	)		1.0000		.13			12,043,331		.20			.26		.13
	(.0104	)		1.0000		1.04			18,404,141		.23	(d)		.28		.94
	(.0371	)		1.0000		3.77			14,717,852		.19			.24		3.76
	(.0517	)		1.0000		5.29			14,476,438		.20			.26		5.17

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		19

SSgA
Institutional Money Market Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on two funds: the SSgA U.S. Treasury Money Market Fund and SSgA Prime Money Market Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.


2.		Significant Accounting Policies

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes a constant accretion/ amortization to maturity of any discount or premium. While amortized cost provides certainty in valuation, it may result in periods when the value of an instrument is higher or lower than the price a Fund would receive if it sold the instrument.


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.


20		Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

Securities Transactions

Securities transactions are recorded on a trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Interest income is recorded daily on an accrual basis. Distributions received on securities that represent a return on capital or capital gain are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

The Funds may have net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. At February 29, 2012, the Funds had no net tax basis capital loss carryforwards.


Notes to Financial Statements		21

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and U.S. GAAP.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Investment Company which cannot be directly attributed to a Fund are allocated among all funds of the Investment Company based principally on their relative average net assets.

Repurchase Agreements

A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed-upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities. Repurchase agreements are fully collateralized at all times. The use of repurchase agreements involves certain risks. For example, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Advisor”), a wholly-owned subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).

Guarantees


3.		Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly at the annual rate of 0.15% of its daily average net assets.

The Advisor has contractually agreed to waive 0.05% of its 0.15% advisory fee on the U.S. Treasury Money Market Fund until December 31, 2012. The Advisor also contractually agreed to waive up to the full amount of the U.S. Treasury Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.20% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring fees, extraordinary expenses and acquired fund fees). The total amounts of the waiver and reimbursement for the period ended February 29, 2012 were $1,143,002 and $0, respectively.


22		Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The Advisor has contractually agreed to waive 0.05% of its 0.15% advisory fee on the Prime Money Market Fund until December 31, 2012. The Advisor also contractually agreed to waive up to the full amount of the Prime Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.20% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring fees, extraordinary expenses and acquired fund fees). The total amounts of the waiver and reimbursement for the period ended February 29, 2012 were $2,381,066 and $595,346, respectively.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Advisor may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 29, 2012, the U.S. Treasury Money Market fund waived $3,560,954. There is no guarantee that the Funds will be able to avoid a negative yield.

The SSgA Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”). As of February 29, 2012, $27,974,615 represents the investments of other Investment Company Funds not presented herein.

Boston Financial Data Services (“BFDS”) a joint venture of DST Systems, Inc., and State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Funds. For these services, the Funds pay annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200 for each Fund.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statement of Operations. For the period ended February 29, 2012, the Funds’ custodian fees were not reduced by under the arrangements.

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly-owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of the Investment Company’s money market portfolios: $0 up to $15 billion — 0.0315%; over $15 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has a distribution agreement dated March 1, 2002, as amended, between the Investment Company and State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, to promote and offer shares of the Investment Company. The Distributor may enter into agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statements of Operations.

The Investment Company has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Investment Company is authorized to make payments to the Distributor, or any Shareholder Servicing Agent, as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has a shareholder servicing agreement with State Street and Wealth Management Systems, an entity related to State Street. For these services, each Fund pays a maximum of 0.025% to State Street and 0.05% to Wealth Management Systems,


Notes to Financial Statements		23

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

based on the average daily value of all Fund shares held. For the period ended February 29, 2012, the Funds paid the following shareholder servicing expenses to affiliated service the Agents:


			Wealth
			Management
	State Street		Systems
U.S. Treasury Money Market Fund	$	571,271	$	80,861
Prime Money Market Fund		1,087,835		352,739

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuance.

Board of Trustees

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


	U.S. Treasury
	Money		Prime Money
	Market Fund		Market Fund
Advisory fees	$	229,929	$	766,073
Administration fees		114,469		240,370
Custodian Fees		27,390		165,561
Distribution fees		12,932		369,065
Shareholder servicing fees		165,062		465,052
Transfer agent fees		5,565		14,804
Trustee fees		35,275		117,204

	$	590,622	$	2,138,129


24		Notes to Financial Statements

SSgA
Institutional Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


4.		Fund Share Transactions (On Constant Dollar Basis)


	(amounts in thousands)
	For the Periods Ended
				August 31,
	February 29, 2012			2011
	On a Constant			On a Constant
	Dollar Basis			Dollar Basis
U.S. Treasury Money Market Fund
Proceeds from shares sold	$	25,414,267		$	58,075,390
Proceeds from reinvestment of distributions		11			25
Payments for shares redeemed		(25,173,939	)		(57,880,345	)

Total net increase (decrease)	$	240,339		$	195,070

Prime Money Market Fund
Proceeds from shares sold	$	52,635,825		$	124,061,965
Proceeds from reinvestment of distributions		2,850			13,859
Payments for shares redeemed		(50,826,366	)		(126,184,444	)

Total net increase (decrease)	$	1,812,309		$	(2,108,620	)


5.		Restricted Securities

Restricted securities are subject to contractual limitations on resale, are often issued in private placement transactions, and are not registered under the Securities Act of 1933 (the “Act”). The most common types of restricted securities are those sold under Rule 144A of the Act and commercial paper sold under Section 4(2) of the Act.

A Fund may invest a portion of its net assets not to exceed 5% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

For the period ended February 29, 2012, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.


6.		Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which a Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of a Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates its value as recorded in the Fund’s Statements of Assets and Liabilities.


7.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review nothing was discovered which would require disclosure within the financial statements.


Notes to Financial Statements		25

SSgA
Institutional Money Market Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


26		Shareholder Requests for Additional Information

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial Center
One Lincoln Street
Boston, MA
02111-2900

Trustee since November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Member, Board of Trustees (Chairman of the Board from 1988 to December 2008)
Member, Audit Committee,

Chairman, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired);

• March 2007 to September 2010, member, IDC Board of Governors;

• September 2007 to September 2010, member Investment Company Institute Board of Governors;

• September 2008 to September 2010, member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell Trust Company (Retired).

None

William L. Marshall
Born December 12, 1942

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Certified Financial Planner and Member, Financial Planners Association; and

• Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.

None


Disclosure of Information about Fund Trustees and Officers		27

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc);

• January 2009 to Present, Independent Director, SSgA Fixed Income plc; and

• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.

None

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Chairman, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None


28		Disclosure of Information about Fund Trustees and Officers

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Bruce D. Taber
Born April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991
Member, Audit Committee

Member, Governance Committee

Chairman, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund plc;

• Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


Disclosure of Information about Fund Trustees and Officers		29

SSgA
Institutional Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18^th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


30		Disclosure of Information about Fund Trustees and Officers

SSgA

Institutional Money Market Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Offices and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers		31

IMMSAR-02/12

FIXED INCOME FUNDS

Bond Market Fund
Bond Market Fund – Class R
Intermediate Fund
High Yield Bond Fund

Semiannual Report
February 29, 2012

SSgA Funds

Fixed Income Funds

Semi-annual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

Bond Market Fund		3
Intermediate Fund		11
High Yield Bond Fund		17
Notes to Schedules of Investments		26
Statements of Assets and Liabilities		27
Statements of Operations		28
Statements of Changes in Net Assets		29
Financial Highlights		30
Notes to Financial Statements		32
Shareholder Requests for Additional Information		46
Disclosure of Information about Fund Trustees and Officers		47
Fund Management and Service Providers		51

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This page has been intentionally left blank.

SSgA
Bond Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,027.26	$	1,022.38
Expenses Paid During Period*	$	2.52	$	2.51


*	Expenses are equal to the Fund’s annualized expense ratio of 0.50% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,019.07	$	1,019.89
Expenses Paid During Period*	$	5.02	$	5.02


*	Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Bond Market Fund		3

This page has been intentionally left blank.

SSgA
Bond Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Long-Term Investments - 98.7%

Asset-Backed Securities - 0.3%
Chase Issuance Trust
Series 2007-A17 Class A
5.120% due 10/15/14		100		103


Corporate Bonds and Notes - 21.2%
Alabama Power Co.
5.700% due 02/15/33		50		61
Altria Group, Inc.
9.950% due 11/10/38		75		117
American Honda Finance Corp.
1.450% due 02/27/15 (λ)		125		125
Ball Corp.
5.000% due 03/15/22		55		56
Bank of America Corp.
5.875% due 02/07/42		75		75
Baxter International, Inc.
1.800% due 03/15/13		125		127
Broadcom Corp.
1.500% due 11/01/13		250		253
Burlington Northern Santa Fe LLC
4.950% due 09/15/41		110		120
CenturyLink, Inc.
6.450% due 06/15/21		125		132
Citigroup, Inc.
4.750% due 05/19/15		225		239
5.875% due 01/30/42		50		53
Comcast Cable Communications Holdings, Inc.
8.375% due 03/15/13		75		81
Comcast Corp.
6.400% due 03/01/40		150		192
CSX Corp.
4.750% due 05/30/42		40		42
Daimler Finance NA LLC
2.950% due 01/11/17 (λ)		125		129
8.500% due 01/18/31		125		186
Digital Realty Trust, LP
4.500% due 07/15/15		175		183
Discover Bank
Series BKNT
8.700% due 11/18/19		250		301
Duke Energy Carolinas LLC
4.250% due 12/15/41		125		132
eBay, Inc.
0.875% due 10/15/13		165		166
Ecolab, Inc.
4.350% due 12/08/21		125		137
Ford Motor Credit Co. LLC
3.875% due 01/15/15		250		256
Goldman Sachs Group, Inc. (The)
5.250% due 07/27/21		75		75
Hess Corp.
7.300% due 08/15/31		25		33
Hewlett-Packard Co.
1.250% due 09/13/13		25		25
1.550% due 05/30/14		25		25
HSBC Bank USA NA
Series BKNT
5.625% due 08/15/35		75		75
International Paper Co.
6.000% due 11/15/41		50		58
Interpublic Group of Cos., Inc. (The)
4.000% due 03/15/22		70		70
JPMorgan Chase & Co.
5.600% due 07/15/41		175		195
Kraft Foods, Inc.
5.250% due 10/01/13		125		133
Lubrizol Corp.
6.500% due 10/01/34		25		32
Macy’s Retail Holdings, Inc.
5.900% due 12/01/16		250		288
3.875% due 01/15/22		70		72
Merrill Lynch & Co., Inc.
6.875% due 04/25/18		100		109
Morgan Stanley
3.800% due 04/29/16		125		122
5.750% due 01/25/21		125		124
News America, Inc.
Series WI
6.150% due 02/15/41		125		149
Oglethorpe Power Corp.
5.250% due 09/01/50		100		112
Philip Morris International, Inc.
4.875% due 05/16/13		125		132
Plum Creek Timberlands, LP
5.875% due 11/15/15		50		55
PPG Industries, Inc.
5.500% due 11/15/40		125		144
Procter & Gamble - Esop
Series A
9.360% due 01/01/21		19		25
Range Resources Corp.
5.000% due 08/15/22		40		40
Rayonier, Inc.
3.750% due 04/01/22		250		249
SABMiller Holdings, Inc.
4.950% due 01/15/42 (λ)		165		177
SLM Corp.
6.000% due 01/25/17		75		77


Bond Market Fund		5

SSgA
Bond Market Fund

Schedule of Investments, continued — February 29, 2012


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Southern Power Co.
5.150% due 09/15/41		150		162
Spectra Energy Capital LLC
5.650% due 03/01/20		125		143
Thermo Fisher Scientific, Inc.
3.600% due 08/15/21		250		267
UR Financing Escrow Corp.
5.750% due 07/15/18 (λ)		125		128
Verizon Communications, Inc.
3.500% due 11/01/21		250		262
Verizon New York, Inc.
Series B
7.375% due 04/01/32		100		119
Videotron Ltee
5.000% due 07/15/22 (λ)		50		50
Virginia Electric and Power Co.
Series A
4.750% due 03/01/13		125		130
Wells Fargo & Co.
2.625% due 12/15/16		175		180

				7,200


International Debt - 7.7%
America Movil SAB de CV
2.375% due 09/08/16		250		255
Anglo American Capital PLC
2.150% due 09/27/13 (λ)		250		249
Barclays Bank PLC
2.750% due 02/23/15		125		126
BHP Billiton Finance USA, Ltd.
4.800% due 04/15/13		25		26
BP Capital Markets PLC
3.561% due 11/01/21		125		133
Brazilian Government International Bond
Series A
8.000% due 01/15/18		33		40
Canadian Pacific Railway Co.
9.450% due 08/01/21		40		54
Covidien International Finance SA
4.200% due 06/15/20		250		276
European Investment Bank
5.125% due 09/13/16		150		174
ING Bank NV
Zero coupon due 03/07/17 (λ)		250		249
QBE Capital Funding III, Ltd.
7.250% due 05/24/41 (λ)		250		228
Royal Bank of Scotland PLC (The)
3.250% due 01/11/14		125		125
Santander US Debt SA Unipersonal
2.991% due 10/07/13 (λ)		100		99
Talisman Energy, Inc.
5.850% due 02/01/37		25		27
Telefonica Emisiones SAU
3.992% due 02/16/16		100		101
TransCanada PipeLines, Ltd.
4.000% due 06/15/13		125		130
Tyco Electronics Group SA
1.600% due 02/03/15		125		125
Vale Overseas, Ltd.
6.250% due 01/23/17		50		58
Virgin Media Finance PLC
5.250% due 02/15/22		145		148

				2,623


Mortgage-Backed Securities - 39.4%
Banc of America Merrill Lynch Commercial Mortgage, Inc.
Series 2003-2 Class A4
5.061% due 03/11/41		250		262
Citigroup Commercial Mortgage Trust
Series 2004-C2 Class A4
4.623% due 10/15/41		290		293
Credit Suisse Mortgage Capital Certificates
Series 2006-C3 Class AAB
5.815% due 06/15/38		203		217
Fannie Mae
6.000% due 2013		49		52
5.500% due 2014		1		1
6.500% due 2014		62		64
7.500% due 2015		7		8
6.500% due 2016		11		11
5.000% due 2018		242		262
5.500% due 2018		113		123
5.500% due 2019		54		58
4.500% due 2022		276		295
4.500% due 2023		3		4
8.000% due 2023		—		—	±
4.000% due 2025		467		501
9.000% due 2025		170		207
9.000% due 2026		1		2
7.500% due 2027		37		43
6.000% due 2028		7		8
6.000% due 2029		2		2
7.000% due 2029		3		3
6.000% due 2030		3		3
7.500% due 2030		1		2
4.500% due 2033		376		402
6.000% due 2033		123		138
5.500% due 2034		497		543
5.000% due 2035		360		389


6		Bond Market Fund

SSgA
Bond Market Fund

Schedule of Investments, continued — February 29, 2012


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
2.485% due 2036 (Ê)		600		637
6.000% due 2038		367		404
4.500% due 2039		616		657
4.000% due 2040		558		588
4.500% due 2040		866		924
30 Year TBA(Ï)
4.000%		575		605
Freddie Mac
6.000% due 2016		28		30
7.000% due 2016		45		48
4.500% due 2019		160		171
4.500% due 2023		45		49
8.500% due 2025		1		—	±
7.000% due 2030		1		2
6.000% due 2033		44		49
5.000% due 2035		1,016		1,097
5.500% due 2038		786		861
4.500% due 2039		176		187
Ginnie Mae I
10.000% due 2013		1		1
7.500% due 2022		—		1
7.000% due 2023		43		49
7.500% due 2023		—		—	±
6.500% due 2024		1		2
7.500% due 2024		27		32
8.500% due 2025		5		5
6.500% due 2028		8		9
7.000% due 2028		10		12
7.500% due 2028		13		14
8.500% due 2028		10		11
7.500% due 2029		1		1
8.000% due 2029		6		6
7.500% due 2030		12		12
8.000% due 2030		34		40
6.500% due 2032		53		61
7.000% due 2032		80		95
7.500% due 2032		4		5
5.000% due 2033		148		163
5.500% due 2038		172		192
6.000% due 2038		231		260
4.500% due 2039		554		606
5.000% due 2039		346		383
4.000% due 2040		238		258
4.500% due 2041		275		300
Greenwich Capital Commercial Funding Corp.
Series 2007-GG9 Class A4
5.444% due 03/10/39		300		333
GS Mortgage Securities Corp. II
Series 2006-GG8 Class A4
5.560% due 11/10/39		200		226
Morgan Stanley Capital I
Series 2005-T19 Class AAB
4.852% due 06/12/47		138		143

				13,422


United States Government Agencies - 3.0%
Federal Home Loan Bank
Series 467
5.250% due 06/18/14		200		222
Federal Home Loan Bank Discount Notes
4.750% due 09/11/15		150		170
Federal National Mortgage Association
1.250% due 09/28/16		425		431
Freddie Mac
6.750% due 03/15/31		125		186

				1,009


United States Government Treasuries - 27.1%
United States Treasury Inflation Indexed Bonds
1.875% due 07/15/13		1,229		1,303
0.125% due 04/15/16		1,636		1,740
United States Treasury Notes
1.000% due 09/30/16		1,150		1,161
0.875% due 12/31/16		1,098		1,100
0.875% due 01/31/17		175		175
1.375% due 12/31/18		160		160
2.000% due 02/15/22		2,072		2,076
5.250% due 11/15/28		515		696
4.375% due 05/15/40		47		59
4.375% due 05/15/41		600		756

				9,226


Total Long-Term Investments (cost $31,905)				33,583


Bond Market Fund		7

SSgA
Bond Market Fund

Schedule of Investments, continued — February 29, 2012


Amounts in thousands (except share amounts)
	Notional		Market
	Amount		Value
	$		$

Options Purchased - 0.0%
(Number of Contracts)
United States Treasury 10 Year Note Futures
Mar 2012 131.00 Put (7)		USD 7		5


Total Options Purchased (cost $4)				5


Short-Term Investments - 4.2%
SSgA Prime Money Market Fund		1,097,912		1,098
United States Treasury Bills
0.017% due 04/12/12(§)		325		325


Total Short-Term Investments (cost $1,423)				1,423


Total Investments - 102.9% (identified cost $33,332)				35,011



	Principal
	Amount ($)
	or Shares

Other Assets and Liabilities, Net - (2.9%)				(982	)


Net Assets - 100.0%				34,029


Amounts in thousands (except contracts amounts)
								Unrealized
								Appreciation
	Number of		Notional		Expiration			(Depreciation)
Futures Contracts	Contracts		Amount		Date			$

Long Positions
United States Treasury 2 Year Note Futures		13	USD	2,863		06	/12		—	±
United States Treasury 5 Year Note Futures		13	USD	1,601		06	/12		2

Short Positions
United States Treasury 10 Year Note Futures		11	USD	1,440		06	/12		(3	)

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts									(1	)

Strike

Notional

Expiration

Market Value

Options Written

Call/Put

Number of Contracts

Price

Amount

Date

United States

Treasury 10 Year Note Futures

Put

129.50

USD 14

03/23/12

)

Total Liability for Options Written (premiums received $3)

)

See accompanying notes which are an integral part of the financial statements.


8		Bond Market Fund

SSgA
Bond Market Fund


Presentation of Portfolio Holdings — February 29, 2012

Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Asset-Backed Securities	$	—		$	103	$	—	$	103			0.3
Corporate Bonds and Notes		—			7,200		—		7,200			21.2
International Debt		—			2,623		—		2,623			7.7
Mortgage-Backed Securities		—			13,422		—		13,422			39.4
United States Government Agencies		—			1,009		—		1,009			3.0
United States Government Treasuries		—			9,226		—		9,226			27.1
Options Purchased		5			—		—		5			—	^*
Short-Term Investments		1,098			325		—		1,423			4.2

Total Investments		1,103			33,908		—		35,011			102.9

Other Assets and Liabilities, Net												(2.9	)

												100.0

Other Financial Instruments
Futures Contracts		(1	)		—		—		(1	)		—	*
Options Written		(4	)		—		—		(4	)		—	*

Total Other Financial Instruments**	$	(5	)	$	—	$	—	$	(5	)


*		Less than .05% of net assets.
**		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


Bond Market Fund		9

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SSgA
Intermediate Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,014.89	$	1,021.88
Expenses Paid During Period*	$	3.01	$	3.02


*	Expenses are equal to the Fund’s annualized expense ratio of 0.60% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Intermediate Fund		11

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SSgA
Intermediate Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal			Market
	Amount ($)			Value
	or Shares			$

Long-Term Investments - 95.2%

Corporate Bonds and Notes - 23.4%
Altria Group, Inc.
9.250% due 08/06/19		125			171
American Honda Finance Corp.
1.450% due 02/27/15 (λ)		125			125
Aristotle Holding, Inc.
4.750% due 11/15/21 (λ)		125			134
AT&T, Inc.
3.875% due 08/15/21		80			86
Ball Corp.
5.000% due 03/15/22		55			56
Bank of America Corp.
6.500% due 08/01/16		325			351
5.000% due 05/13/21		225			224
Baxter International, Inc.
1.800% due 03/15/13		125			127
Broadcom Corp.
1.500% due 11/01/13		250			253
Burlington Northern Santa Fe LLC
5.650% due 05/01/17		50			59
3.450% due 09/15/21		250			259
CenturyLink, Inc.
6.450% due 06/15/21		250			265
Cisco Systems, Inc.
5.500% due 02/22/16		100			117
Citigroup, Inc.
4.750% due 05/19/15		250			265
Comcast Corp.
6.500% due 01/15/15		50			58
4.950% due 06/15/16		25			28
Cooper US, Inc.
2.375% due 01/15/16		125			129
Daimler Finance NA LLC
2.950% due 01/11/17 (λ)		125			129
Digital Realty Trust, LP
4.500% due 07/15/15		175			183
Discover Bank
Series BKNT
8.700% due 11/18/19		250			301
Dover Corp.
4.875% due 10/15/15		25			28
eBay, Inc.
0.875% due 10/15/13		165			166
Ecolab, Inc.
4.350% due 12/08/21		125			137
Ford Motor Credit Co. LLC
3.875% due 01/15/15		250			256
Genentech, Inc.
4.750% due 07/15/15		50			56
Genworth Financial, Inc.
4.950% due 10/01/15		50			51
Goldman Sachs Group, Inc. (The)
5.625% due 01/15/17		50			53
5.250% due 07/27/21		100			100
Hershey Co. (The)
4.850% due 08/15/15		50			56
Hewlett-Packard Co.
1.250% due 09/13/13		125			126
1.550% due 05/30/14		25			25
HSBC Finance Corp.
6.676% due 01/15/21		111			119
Interpublic Group of Cos., Inc. (The)
4.000% due 03/15/22		70			70
JPMorgan Chase & Co.
3.150% due 07/05/16		450			463
4.350% due 08/15/21		75			79
Kraft Foods, Inc.
5.250% due 10/01/13		125	��		133
Macy’s Retail Holdings, Inc.
5.900% due 12/01/16		250			288
3.875% due 01/15/22		70			72
MetLife, Inc.
6.750% due 06/01/16		100			120
MidAmerican Energy Holdings Co.
5.750% due 04/01/18		125			148
Morgan Stanley
3.800% due 04/29/16		175			171
5.750% due 01/25/21		175			173
National Fuel Gas Co.
5.250% due 03/01/13		20			21
News America, Inc.
Series WI
4.500% due 02/15/21		150			162
Philip Morris International, Inc.
4.875% due 05/16/13		125			132
Plains All American Pipeline, LP / PAA Finance Corp.
3.950% due 09/15/15		125			133
PSEG Power LLC
5.500% due 12/01/15		50			56
Public Service Electric & Gas Co.
5.000% due 08/15/14		50			55
Range Resources Corp.
5.000% due 08/15/22		40			40
Rayonier, Inc.
3.750% due 04/01/22		250			249
SABMiller Holdings, Inc.
3.750% due 01/15/22 (λ)		250			261
SLM Corp.
6.000% due 01/25/17		100			103


Intermediate Fund		13

SSgA
Intermediate Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Southern Copper Corp.
5.375% due 04/16/20		180		199
Thermo Fisher Scientific, Inc.
3.600% due 08/15/21		200		213
UR Financing Escrow Corp.
5.750% due 07/15/18 (λ)		125		128
US Bancorp 3.000% due 03/15/22		150		150
Verizon Communications, Inc.
3.500% due 11/01/21		250		261
Videotron Ltee
5.000% due 07/15/22 (λ)		50		50
Virginia Electric and Power Co.
Series A
4.750% due 03/01/13		175		182
Wal-Mart Stores, Inc.
4.250% due 04/15/21		125		143
Wells Fargo & Co.
2.625% due 12/15/16		175		180
Wisconsin Electric Power Co.
2.950% due 09/15/21		125		128
Xerox Corp.
4.500% due 05/15/21		185		189

				9,245


International Debt - 7.6%
America Movil SAB de CV
2.375% due 09/08/16		200		204
Anglo American Capital PLC
2.150% due 09/27/13 (λ)		250		249
Barclays Bank PLC
2.750% due 02/23/15		125		126
BP Capital Markets PLC
3.561% due 11/01/21		125		133
Brazilian Government International Bond
Series A
8.000% due 01/15/18		67		80
Covidien International Finance SA
4.200% due 06/15/20		125		138
Deutsche Telekom International Finance BV
5.250% due 07/22/13		75		79
European Investment Bank
4.250% due 07/15/13		225		236
ING Bank NV
3.750% due 03/04/17 (λ)		250		249
Landesbank Baden-Wuerttemberg NY
5.050% due 12/30/15		200		219
Mexico Government International Bond
Series MTNA
5.875% due 01/15/14		100		108
Petrobras International Finance Co. — Pifco
6.125% due 10/06/16		25		28
QBE Capital Funding III, Ltd.
7.250% due 05/24/41 (λ)		250		228
Republic of Italy
5.250% due 09/20/16		125		126
Royal Bank of Scotland PLC (The)
3.250% due 01/11/14		125		125
Santander US Debt SA Unipersonal
2.991% due 10/07/13 (λ)		100		99
Telefonica Emisiones SAU
6.421% due 06/20/16		65		70
TransCanada PipeLines, Ltd.
4.000% due 06/15/13		125		130
Tyco Electronics Group SA
1.600% due 02/03/15		125		125
Tyco International Finance SA
6.000% due 11/15/13		25		27
Vale Overseas, Ltd.
6.250% due 01/23/17		75		87
Virgin Media Finance PLC
5.250% due 02/15/22		145		148

				3,014


United States Government Agencies - 8.1%
Federal Home Loan Mortgage Corp.
0.625% due 12/29/14		500		504
2.375% due 01/13/22		795		804
Federal National Mortgage Association
0.750% due 12/19/14		500		504
1.250% due 09/28/16		350		355
1.375% due 11/15/16		500		509
Freddie Mac
0.750% due 11/25/14		500		505

				3,181


United States Government Treasuries - 56.1%
United States Treasury Inflation Indexed Bonds
0.125% due 04/15/16		1,534		1,631
United States Treasury Notes
0.750% due 03/31/13		1,185		1,192
1.750% due 04/15/13		1,875		1,907
0.375% due 06/30/13		175		175
3.375% due 07/31/13		1,250		1,305
1.750% due 01/31/14		800		822
1.875% due 02/28/14		1,575		1,624
0.250% due 09/15/14		107		107
0.500% due 10/15/14		52		52
2.625% due 12/31/14		250		265


14		Intermediate Fund

SSgA
Intermediate Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
2.000% due 01/31/16		3,000		3,159
3.000% due 08/31/16		405		445
1.000% due 09/30/16		4,365		4,407
0.875% due 12/31/16		1,525		1,528
0.875% due 01/31/17		175		175
1.375% due 12/31/18		180		180
2.000% due 02/15/22		3,148		3,154

				22,128


Total Long-Term Investments (cost $36,548)				37,568


	Notional
	Amount
	$
Options Purchased - 0.0%
(Number of Contracts)
United States Treasury 10
Year Note Futures
Mar 2012 131.00 Put (8)	USD	8	6


Total Options Purchased (cost $4)			6


	Principal
	Amount ($)
	or Shares
Short-Term Investments - 5.1%
Bank of America Corp.
2.100% due 04/30/12		175	176
General Electric Capital Corp.
2.200% due 06/08/12		175	176
Hydro Quebec
Series IF
8.000% due 02/01/13		85	90
SSgA Prime Money Market Fund		459,598	460
United States Treasury Bills
Zero coupon due 04/12/12(§)		275	275
United States Treasury Notes
1.375% due 09/15/12		250	252
0.625% due 02/28/13		575	577


Total Short-Term Investments (cost $1,999)			2,006


Total Investments - 100.3% (identified cost $38,551)			39,580

Other Assets and Liabilities, Net - (0.3%)			(115	)


Net Assets - 100.0%			39,465

See accompanying notes which are an integral part of the financial statements.


Intermediate Fund		15

SSgA
Intermediate Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except contracts amounts)
	Number of				Expiration			Unrealized Appreciation (Depreciation)
Futures Contracts	Contracts		Notional Amount		Date			$

Long Positions
United States Treasury 2 Year Note Futures		17	USD	3,744		06	/12		—	±
United States Treasury 5 Year Note Futures		16	USD	1,971		06	/12		2

Short Positions
United States Treasury 10 Year Note Futures		20	USD	2,619		06	/12		(6	)

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts									(4	)

Market

Number of

Strike

Notional

Expiration

Value

Options Written

Call/Put

Contracts

Price

Amount

Date

United States Treasury 10 Year Note Futures

Put

129.50

USD

/23/12

)

Total Liability for Options Written (premiums received $4)

)


Presentation of Portfolio Holdings February 29, 2012 (Unaudited)

Amounts in thousands
											% of
	Market Value										Net
Categories	Level 1			Level 2		Level 3		Total			Assets
Corporate Bonds and Notes	$	—		$	9,245	$	—	$	9,245			23.4
International Debt		—			3,014		—		3,014			7.6
United States Government Agencies		—			3,181		—		3,181			8.1
United States Government Treasuries		—			22,128		—		22,128			56.1
Options Purchased		6			—		—		6			—	^*
Short-Term Investments		460			1,546		—		2,006			5.1

Total Investments		466			39,114		—		39,580			100.3

Other Assets and Liabilities, Net												(0.3	)

												100.0

Other Financial Instruments
Futures Contracts		(4	)		—		—		(4	)		—	*
Options Written		(5	)		—		—		(5	)		—	*

Total Other Financial Instruments**	$	(9	)	$	—	$	—	$	(9	)


*		Less than .05% of net assets.
**		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


16		Intermediate Fund

SSgA
High Yield Bond Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,088.00	$	1,021.13
Expenses Paid During Period*	$	3.89	$	3.77


*	Expenses are equal to the Fund’s annualized expense ratio of 0.75% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


High Yield Bond Fund		17

This page has been intentionally left blank.

SSgA
High Yield Bond Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Long-Term Investments - 93.0%

Corporate Bonds and Notes - 82.0%
AbitibiBowater, Inc.
10.250% due 10/15/18 (λ)		362		414
ACE Cash Express, Inc.
11.000% due 02/01/19 (λ)		300		277
Advanced Micro Devices, Inc.
7.750% due 08/01/20		625		693
AES Corp. (The)
9.750% due 04/15/16		525		625
Allison Transmission, Inc.
7.125% due 05/15/19 (λ)		350		360
Ally Financial, Inc.
5.500% due 02/15/17		1,250		1,266
Series *
8.000% due 11/01/31		50		56
Series 8
6.750% due 12/01/14		525		554
AMC Entertainment, Inc.
9.750% due 12/01/20		500		467
American Axle & Manufacturing, Inc.
7.750% due 11/15/19		500		533
American Casino & Entertainment Properties LLC
11.000% due 06/15/14		380		402
AmeriGas Finance LLC/AmeriGas Finance Corp.
6.750% due 05/20/20		1,000		1,030
AMERIGROUP Corp.
7.500% due 11/15/19		475		523
ARAMARK Holdings Corp.
8.625% due 05/01/16 (λ)		525		538
Arch Coal, Inc.
7.000% due 06/15/19 (λ)		760		760
Atwood Oceanics, Inc.
6.500% due 02/01/20		630		663
Avaya, Inc.
7.000% due 04/01/19 (λ)		215		218
Avis Budget Car Rental LLC / Avis Budget Finance, Inc.
9.625% due 03/15/18		388		423
Ball Corp.
5.000% due 03/15/22		565		578
Bank of America Corp.
Series K
8.000% due 12/29/49 (ƒ)		325		330
BE Aerospace, Inc.
6.875% due 10/01/20		465		518
Beazer Homes USA, Inc.
8.125% due 06/15/16		200		187
Berry Plastics Corp.
9.500% due 05/15/18		450		480
Biomet, Inc.
11.625% due 10/15/17		225		246
Building Materials Corp. of America 6.750% due 05/01/21 (λ)		250		272
Burlington Coat Factory Warehouse Corp.
Series WI 10.000% due 02/15/19		500		513
Caesars Entertainment Operating Co., Inc.
11.250% due 06/01/17		250		274
10.000% due 12/15/18		325		251
Caesars Operating Escrow LLC / Caesars Escrow Corp.
8.500% due 02/15/20 (λ)		500		510
Calpine Corp.
7.500% due 02/15/21 (λ)		650		705
Capella Healthcare, Inc.
9.250% due 07/01/17		200		206
Case New Holland, Inc.
7.875% due 12/01/17		400		470
CCO Holdings LLC / CCO Holdings Capital Corp.
7.375% due 06/01/20		900		990
CDW LLC / CDW Finance Corp.
8.500% due 04/01/19		500		535
Celanese US Holdings LLC
5.875% due 06/15/21		600		654
Chaparral Energy, Inc.
9.875% due 10/01/20		250		281
8.250% due 09/01/21		125		139
Chesapeake Energy Corp.
6.500% due 08/15/17		350		368
6.775% due 03/15/19		500		502
6.125% due 02/15/21		250		253
Chesapeake Midstream Partners, LP / CHKM Finance Corp.
5.875% due 04/15/21 (λ)		400		408
Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc.
6.625% due 11/15/19 (λ)		625		638
Chrysler Group LLC/CG Co.-Issuer, Inc.
Series WI
8.250% due 06/15/21		525		530
Cincinnati Bell, Inc.
8.750% due 03/15/18		350		333


High Yield Bond Fund		19

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
CIT Group, Inc.
4.750% due 02/15/15 (λ)		500		508
7.000% due 05/01/17		1,500		1,500
7.000% due 05/02/17 (λ)		375		375
CityCenter Holdings LLC / CityCenter Finance Corp.
7.625% due 01/15/16		225		237
Series 144a
7.625% due 01/15/16 (λ)		450		474
Clear Channel Communications, Inc.
5.500% due 09/15/14		250		224
Clear Channel Worldwide
7.625% due 03/15/20 (λ)		1,000		1,000
Cleaver-Brooks, Inc.
12.250% due 05/01/16 (λ)		200		208
CNH Capital LLC
6.250% due 11/01/16 (λ)		650		699
CommScope, Inc.
8.250% due 01/15/19 (λ)		415		437
Concho Resources, Inc.
7.000% due 01/15/21		100		112
Consol Energy, Inc.
6.375% due 03/01/21 (λ)		425		428
Cricket Communications, Inc.
10.000% due 07/15/15		325		344
7.750% due 10/15/20		350		348
CSC Holdings LLC
7.625% due 07/15/18		450		509
6.750% due 11/15/21 (λ)		450		487
DAE Aviation Holdings, Inc.
11.250% due 08/01/15 (λ)		200		208
Delphi Corp.
6.125% due 05/15/21 (λ)		600		643
Delta Air Lines 2007-1 Class C Pass Through Trust
Series 071C
8.954% due 08/10/14		231		237
Delta Air Lines, Inc.
12.250% due 03/15/15 (λ)		125		135
Deluxe Corp.
7.000% due 03/15/19		300		304
DineEquity, Inc.
9.500% due 10/30/18		200		220
DISH DBS Corp.
7.125% due 02/01/16		500		553
6.750% due 06/01/21		1,000		1,110
Dynacast International LLC / Dynacast Finance, Inc.
9.250% due 07/15/19 (λ)		375		391
Edison Mission Energy
7.000% due 05/15/17		200		134
El Paso Corp.
7.250% due 06/01/18		650		736
Elizabeth Arden, Inc.
7.375% due 03/15/21		350		377
Endo Pharmaceuticals Holdings, Inc.
7.000% due 07/15/19		250		275
Energy Future Holdings Corp.
10.000% due 01/15/20		440		476
Energy XXI Gulf Coast, Inc.
9.250% due 12/15/17		300		332
EnergySolutions, Inc. / EnergySolutions LLC
10.750% due 08/15/18		375		375
Equinix, Inc.
7.000% due 07/15/21		500		553
Fidelity National Information Services, Inc.
7.875% due 07/15/20		300		337
Series 144a
7.625% due 07/15/17 (λ)		600		652
FireKeepers Development Authority
13.875% due 05/01/15 (λ)		425		477
First Data Corp.
9.875% due 09/24/15		442		450
11.250% due 03/31/16		250		237
7.375% due 06/15/19 (λ)		375		379
12.625% due 01/15/21		113		118
Ford Motor Credit Co. LLC
4.250% due 02/03/17		1,000		1,029
6.625% due 08/15/17		400		453
5.750% due 02/01/21		525		586
Freescale Semiconductor, Inc.
9.250% due 04/15/18 (λ)		350		385
Fresenius Medical Care US Finance II, Inc.
5.625% due 07/31/19 (λ)		625		666
Fresenius Medical Care US Finance, Inc.
Series 144a
6.500% due 09/15/18 (λ)		325		360
Frontier Communications Corp.
8.500% due 04/15/20		550		595
8.750% due 04/15/22		450		490
General Motors Financial Co., Inc.
6.750% due 06/01/18		275		297
GenOn Americas Generation LLC
8.500% due 10/01/21		200		182
Genworth Financial, Inc.
6.150% due 11/15/66		400		274
Georgia Gulf Corp.
9.000% due 01/15/17 (λ)		325		363


20		High Yield Bond Fund

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Goodyear Tire & Rubber Co. (The)
10.500% due 05/15/16		153		168
7.000% due 05/15/22		500		506
Grifols, Inc.
8.250% due 02/01/18		220		239
GWR Operating Partnership LLP
10.875% due 04/01/17		200		224
GXS Worldwide, Inc.
9.750% due 06/15/15		275		274
HCA, Inc.
8.000% due 10/01/18		750		827
5.875% due 03/15/22		1,250		1,281
Hertz Corp. (The)
6.750% due 04/15/19		575		602
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC
8.875% due 02/01/18		675		699
Hughes Satellite Systems Corp.
7.625% due 06/15/21		575		624
Huntington Ingalls Industries, Inc.
6.875% due 03/15/18		400		421
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.
8.000% due 01/15/18		300		318
Series 144@
8.000% due 01/15/18 (λ)		175		186
ILFC E-Capital Trust II
6.250% due 12/21/65 (λ)		350		254
International Lease Finance Corp.
6.250% due 05/15/19		275		279
8.250% due 12/15/20		850		948
8.625% due 01/15/22		300		337
iPayment, Inc.
Series WI
10.250% due 05/15/18		325		310
Jabil Circuit, Inc.
8.250% due 03/15/18		625		744
JMC Steel Group
8.250% due 03/15/18 (λ)		500		522
KB Home
7.250% due 06/15/18		500		494
8.000% due 03/15/20		250		254
Kennedy-Wilson, Inc.
8.750% due 04/01/19		325		336
Kinder Morgan Finance Co. LLC
6.000% due 01/15/18 (λ)		500		531
Kinetic Concepts, Inc./KCI USA Inc
10.500% due 11/01/18 (λ)		225		234
Landry’s, Inc.
11.625% due 12/01/15		250		273
Level 3 Communications, Inc.
Series WI
11.875% due 02/01/19		200		227
Level 3 Financing, Inc.
8.625% due 07/15/20 (λ)		600		640
Libbey Glass, Inc.
10.000% due 02/15/15		270		290
Liberty Mutual Group, Inc.
10.750% due 06/15/58 (λ)		425		555
Limited Brands, Inc.
5.625% due 02/15/22		500		515
LIN Television Corp.
8.375% due 04/15/18		200		211
Linn Energy LLC/Linn Energy Finance Corp.
6.500% due 05/15/19 (λ)		760		775
6.250% due 11/01/19 (λ)		750		749
MacDermid, Inc.
9.500% due 04/15/17 (λ)		400		419
Manitowoc Co., Inc. (The)
8.500% due 11/01/20		270		301
MarkWest Energy Partners, LP / MarkWest Energy Finance Corp.
6.250% due 06/15/22		625		670
McClatchy Co. (The)
11.500% due 02/15/17		450		483
McJunkin Red Man Corp.
9.500% due 12/15/16		300		322
MetroPCS Wireless, Inc.
6.625% due 11/15/20		550		566
MGM Resorts International
6.750% due 04/01/13		150		155
6.875% due 04/01/16		500		500
9.000% due 03/15/20		200		223
Michael Foods, Inc.
9.750% due 07/15/18		500		547
Michaels Stores, Inc.
11.375% due 11/01/16		125		132
7.750% due 11/01/18		325		344
Multiplan, Inc.
9.875% due 09/01/18 (λ)		200		217
Mylan, Inc.
7.625% due 07/15/17 (λ)		300		332
Navistar International Corp.
8.250% due 11/01/21		252		276
Neiman Marcus Group, Inc. (The)
10.375% due 10/15/15		250		260
Newfield Exploration Co.
5.750% due 01/30/22		650		704


High Yield Bond Fund		21

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Nextel Communications, Inc.
Series D
7.375% due 08/01/15		300		296
NII Capital Corp.
7.625% due 04/01/21		500		511
Nortek, Inc.
10.000% due 12/01/18		325		342
NRG Energy, Inc.
7.875% due 05/15/21		450		447
Nuveen Investments, Inc.
5.500% due 09/15/15		375		351
Oasis Petroleum, Inc.
6.500% due 11/01/21		625		644
Peabody Energy Corp.
6.000% due 11/15/18 (λ)		275		288
Petco Animal Supplies, Inc.
9.250% due 12/01/18 (λ)		300		330
Pharmaceutical Product Development, Inc.
9.500% due 12/01/19 (λ)		625		684
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp.
10.625% due 04/01/17		150		159
Pittsburgh Glass Works LLC
8.500% due 04/15/16 (λ)		375		380
Plains Exploration & Production Co.
6.625% due 05/01/21		505		545
6.750% due 02/01/22		300		329
Provident Funding Associates, LP / PFG Finance Corp.
10.250% due 04/15/17 (λ)		250		244
PSS World Medical, Inc.
6.375% due 03/01/22 (λ)		500		520
Range Resources Corp.
5.000% due 08/15/22		420		424
Regions Bank
6.450% due 06/26/37		200		184
Regions Bank/Birmingham AL
Series BKNT
7.500% due 05/15/18		300		327
Revlon Consumer Products Corp.
9.750% due 11/15/15		200		216
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC
7.875% due 08/15/19 (λ)		150		164
9.875% due 08/15/19 (λ)		350		362
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
6.875% due 02/15/21 (λ)		340		361
Series 144a
9.875% due 08/15/19 (λ)		570		589
Rite Aid Corp.
9.500% due 06/15/17		300		305
9.250% due 03/15/20 (λ)		250		253
RR Donnelley & Sons Co.
8.250% due 03/15/19		500		507
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.000% due 07/15/17 (λ)		250		290
Salem Communications Corp.
9.625% due 12/15/16		171		189
Samson Investment Co.
9.750% due 02/15/20 (λ)		625		658
SandRidge Energy, Inc.
7.500% due 03/15/21		475		480
ServiceMaster Co.
10.750% due 07/15/15 (λ)		359		379
8.000% due 02/15/20 (λ)		500		528
SM Energy Co.
6.625% due 02/15/19		50		54
6.500% due 11/15/21 (λ)		200		216
Solutia, Inc.
8.750% due 11/01/17		350		396
Spectrum Brands Holdings, Inc.
9.500% due 06/15/18 (λ)		495		564
Sprint Nextel Corp.
7.000% due 03/01/20 (λ)		1,750		1,778
Standard Pacific Corp.
8.375% due 05/15/18		475		508
Sugarhouse HSP Gaming Prop Mezz, LP/Sugarhouse HSP Gaming Finance Corp.
8.625% due 04/15/16 (λ)		425		445
SunCoke Energy, Inc.
7.625% due 08/01/19		100		104
SunGard Data Systems, Inc.
10.250% due 08/15/15		350		365
SUPERVALU, Inc.
8.000% due 05/01/16		525		545
Surgical Care Affiliates, Inc.
10.000% due 07/15/17 (λ)		275		271
Swift Energy Co.
7.875% due 03/01/22 (λ)		500		522
Taminco Global Chemical Corp.
9.750% due 03/31/20 (λ)		860		899


22		High Yield Bond Fund

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Targa Resources Partners, LP / Targa Resources Partners Finance Corp.
6.375% due 08/01/22 (λ)		500		526
Teleflex, Inc.
6.875% due 06/01/19		175		189
Tenet Healthcare Corp.
10.000% due 05/01/18		200		233
Tenneco, Inc.
7.750% due 08/15/18		250		272
Tesoro Corp.
9.750% due 06/01/19		200		227
Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc.
11.500% due 10/01/20 (λ)		125		84
Series A
10.250% due 11/01/15		425		115
Textron Financial Corp.
6.000% due 02/15/67 (λ)		350		262
Toll Brothers Finance Corp.
5.875% due 02/15/22		500		519
Toys R Us Property Co. I LLC
10.750% due 07/15/17		210		233
TransDigm, Inc.
7.750% due 12/15/18		475		522
UCI International, Inc.
8.625% due 02/15/19		550		562
United Air Lines, Inc.
9.875% due 08/01/13 (λ)		160		168
United Surgical Partners International, Inc.
9.250% due 05/01/17		300		311
UR Financing Escrow Corp.
5.750% due 07/15/18 (λ)		500		514
7.375% due 05/15/20 (λ)		500		513
Valeant Pharmaceuticals International
6.750% due 08/15/21 (λ)		225		224
Videotron Ltee
5.000% due 07/15/22 (λ)		305		305
Weyerhaeuser Co.
7.375% due 10/01/19		375		430
Whiting Petroleum Corp.
6.500% due 10/01/18		325		350
Windstream Corp.
7.500% due 06/01/22 (λ)		950		1,024
WPX Energy, Inc.
6.000% due 01/15/22 (λ)		450		465
Wyle Services Corp.
10.500% due 04/01/18 (λ)		200		212

				93,763


International Debt - 11.0%
Ardagh Packaging Finance PLC
7.375% due 10/15/17 (λ)		635		683
CEVA Group PLC
8.375% due 12/01/17 (λ)		500		499
Dematic SA
8.750% due 05/01/16 (λ)		660		683
FMG Resources August 2006 Pty, Ltd.
6.375% due 02/01/16 (λ)		250		259
8.250% due 11/01/19 (λ)		600		663
Harvest Operations Corp.
6.875% due 10/01/17 (λ)		600		634
Ineos Finance PLC
8.375% due 02/15/19 (λ)		360		382
Ineos Group Holdings, Ltd.
8.500% due 02/15/16 (λ)		250		228
Intelsat Jackson Holdings SA
11.250% due 06/15/16		300		317
Intelsat Luxembourg SA
11.500% due 02/04/17		263		271
International Automotive Components Group SL
9.125% due 06/01/18 (λ)		275		245
Lafarge SA
6.500% due 07/15/16		400		416
LyondellBasell Industries NV
6.000% due 11/15/21 (λ)		700		768
Navios Maritime Holdings, Inc. / Navios Maritime Finance US Inc
8.875% due 11/01/17		300		297
Novelis, Inc.
8.375% due 12/15/17		250		274
OGX Petroleo e Gas Participacoes SA
8.500% due 06/01/18 (λ)		525		547
PetroBakken Energy, Ltd.
8.625% due 02/01/20 (λ)		545		579
Quadra FNX Mining, Ltd.
7.750% due 06/15/19 (λ)		625		711
Royal Bank of Scotland Group PLC
5.050% due 01/08/15		300		290
7.648% due 09/30/49 (ƒ)		325		269
Sable International Finance, Ltd.
8.750% due 02/01/20 (λ)		635		675
Seagate HDD Cayman
7.000% due 11/01/21 (λ)		620		687
Seven Seas Cruises S de RL LLC
9.125% due 05/15/19 (λ)		225		232
Trinidad Drilling, Ltd.
7.875% due 01/15/19 (λ)		500		535
UPCB Finance VI, Ltd.
6.875% due 01/15/22 (λ)		500		514


High Yield Bond Fund		23

SSgA
High Yield Bond Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Virgin Media Finance PLC
5.250% due 02/15/22		570		581
XL Group PLC
Series E
6.500% due 03/29/49 (ƒ)		400		339

				12,578


Total Long-Term Investments (cost $101,299)				106,341


Preferred Stocks - 0.3%
Consumer Discretionary - 0.3%
GMAC Capital Trust I		15,000		353


Total Preferred Stocks (cost $375)				353


Short-Term Investments - 9.1%
SSgA Prime Money Market Fund		10,412,246		10,412


Total Short-Term Investments (cost $10,412)				10,412


Total Investments - 102.4% (identified cost $112,086)				117,106

Other Assets and Liabilities, Net - (2.4%)				(2,710	)


Net Assets - 100.0%				114,396


Amounts in thousands
Credit Default Swap Contracts
Credit Indices
				Fund
				(Pays)/					Market
		Notional		Receives		Termination			Value
Reference Entity	Counterparty	Amount		Fixed Rate		Date			$
Markit CDX North American High Yield Index	Barclays Bank PLC	USD	243		5.000%		12	/20/16		(2	)
Markit CDX North American High Yield Index	Barclays Bank PLC	USD	485		5.000%		12	/20/16		(3	)
Markit CDX North American High Yield Index	Barclays Bank PLC	USD	1,940		5.000%		12	/20/16		(15	)

Total Market Value on Open Credit Indices Premiums Paid (Received) — ($96)										(20	)

Total Market Value on Open Credit Default Swap Contracts Premiums Paid (Received) — ($96)										(20	)

See accompanying notes which are an integral part of the financial statements.


24		High Yield Bond Fund

SSgA
High Yield Bond Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Categories	Level 1		Level 2		Level 3		Total		Assets
Corporate Bonds and Notes	$	—	$	93,526	$	237	$	93,763		82.0
International Debt		—		12,578		—		12,578		11.0
Preferred Stocks		353		—		—		353		0.3
Short-Term Investments		10,412		—		—		10,412		9.1

Total Investments		10,765		106,104		237		117,106		102.4

Other Assets and Liabilities, Net										(2.4	)

										100.0

Other Financial Instruments
Credit Default Swap Contracts		—		76		—		76		—	*

Total Other Financial Instruments**	$	—	$	76	$	—	$	76


*		Less than .05% of net assets.
**		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

Investments in which significant unobservable inputs (Level 3) were used in determining a value for the period ended February 29, 2012 were less than 1% of net assets.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


High Yield Bond Fund		25

SSgA
Fixed Income Funds

Notes to Schedules of Investments — February 29, 2012 (Unaudited)

Footnotes


(Ê)		Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(Ï)		Forward commitment.
(ÿ)		Rate noted is yield-to-maturity from date of acquisition.
(ç)		Fair value is at amortized cost, which approximates market.
(ƒ)		Perpetual floating rate security.
(§)		All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.
(λ)		Restricted security (144A) or 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
±		Less than $500.

Abbreviations

STRIP - Separate Trading of Registered Interest and Principal of Securities.
TBA - To Be Announced Security
UK - United Kingdom


26		Notes to Schedules of Investments

SSgA
Fixed Income Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


	Bond			Intermediate			High Yield
Amounts in thousands	Market Fund			Fund			Bond Fund

Assets
Investments, at identified cost	$	33,332		$	38,551		$	112,086

Investments, at market*		35,011			39,580			117,106
Receivables:
Dividends and interest		188			171			1,727
Investments sold		2,746			2,229			3,461
Fund shares sold		—			5			800
From advisor		22			26			73
Daily variation margin on futures contracts		1			4			—
Prepaid expenses		2			1			2

Total assets		37,970			42,016			123,169


Liabilities
Payables:
Investments purchased		3,839			2,449			8,610
Fund shares redeemed		25			11			58
Accrued fees to affiliates		38			35			49
Other accrued expenses		35			51			36
Options written, at market value		4			5			—
Credit default swap contracts, at market value		—			—			20

Total liabilities		3,941			2,551			8,773



Net Assets	$	34,029		$	39,465		$	114,396


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	63		$	45		$	540
Accumulated net realized gain (loss)		(41,090	)		(7,232	)		(1,301	)
Unrealized appreciation (depreciation) on:
Investments		1,679			1,029			5,020
Futures contracts		(1	)		(4	)		—
Credit default swap contracts		—			—			76
Options written		(1	)		(1	)		—
Shares of beneficial interest		4			4			14
Additional paid-in capital		73,375			45,624			110,047

Net Assets	$	34,029		$	39,465		$	114,396




Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class(a)	$	9.09		$	9.22		$	8.30
Net assets	$	34,016,245		$	39,464,980		$	114,396,114
Shares outstanding ($.001 par value)		3,742,255			4,278,499			13,776,942
Net asset value per share: Class R(a)	$	9.04		$	—		$	—
Net assets	$	13,143		$	—		$	—
Shares outstanding ($.001 par value)		1,453			—			—


*	Investments in Affiliates	$	1,098	$	460	$	10,412
**	Premiums received on options written	$	3		4	$	—
***	Credit default swap contracts — premiums paid (received)	$	—		—	$	(96	)

(a) Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		27

SSgA
Fixed Income Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


	Bond			Intermediate			High Yield
Amounts in thousands	Market Fund			Fund			Bond Fund

Investment Income
Dividends	$	—		$	—		$	15
Dividends from affiliated money market funds		1			1			4
Interest		563			418			3,188

Total investment income		564			419			3,207


Expenses
Advisory fees		54			59			134
Administrative fees		21			21			29
Custodian fees		36			24			35
Distribution fees — Institutional Class		9			34			100
Distribution fees — Class R		—	*		—			—
Transfer agent fees		33			17			20
Professional fees		29			43			21
Registration fees		17			10			32
Shareholder servicing fees — Institutional Class		6			14			11
Shareholder servicing fees — Class R		—	*		—			—
Trustees’ fees		7			7			8
Insurance fees		—	*		—	*		1
Printing fees		9			5			11
Miscellaneous		2			1			2

Expenses before reductions		223			235			404
Expense reductions		(133	)		(117	)		(69	)

Net expenses		90			118			335

Net investment income (loss)		474			301			2,872


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments		943			295			(773	)
Futures contracts		(80	)		(59	)		—
Credit default swap contracts		—			—			119

Net realized gain (loss)		863			236			(654	)

Net change in unrealized appreciation (depreciation) on:
Investments		(380	)		66			5,936
Futures contracts		12			5			—
Options written		(1	)		(1	)		—
Credit default swap contracts		—			—			76

Net change in unrealized appreciation (depreciation)		(369	)		70			6,012

Net realized and unrealized gain (loss)		494			306			5,358

Net Increase (Decrease) in Net Assets from Operations	$	968		$	607		$	8,230


*		Less than $500.

See accompanying notes which are an integral part of the financial statements.


28		Statements of Operations

SSgA
Fixed Income Funds

Statements of Changes in Net Assets — For the Periods Ended


	Bond Market Fund							Intermediate Fund						High Yield Bond Fund
				Fiscal Year							Fiscal Year						Fiscal Year
	Six Months			Ended				Six Months			Ended			Six Months			Ended
	Ended February 29,			August 31,				Ended February 29,			August 31,			Ended February 29,			August 31,
Amounts in thousands	2012 (Unaudited)			2011				2012 (Unaudited)			2011			2012 (Unaudited)			2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	474		$	1,578			$	301		$	892		$	2,872		$	6,601
Net realized gain (loss)		863			959		��		236			830			(654	)		2,229
Net change in unrealized appreciation (depreciation)		(369	)		(279	)			70			(226	)		6,012			(3,934	)

Net increase (decrease) in net assets from operations		968			2,258				607			1,496			8,230			4,896


Distributions
From net investment income
Institutional Class		(534	)		(1,585	)			(326	)		(890	)		(2,956	)		(6,396	)
Class R		(2	)		(8	)			—			—			—			—

Net decrease in net assets from distributions		(536	)		(1,593	)			(326	)		(890	)		(2,956	)		(6,396	)


Share Transactions
Net increase (decrease) in net assets from share transactions		(10,167	)		(3,067	)			588			(638	)		30,496			28,728


Total Net Increase (Decrease) in Net Assets		(9,735	)		(2,402	)			869			(32	)		35,770			27,228

Net Assets
Beginning of period		43,764			46,166				38,596			38,628			78,626			51,398


End of period	$	34,029		$	43,764			$	39,465		$	38,596		$	114,396		$	78,626


Undistributed (overdistributed) net investment income included in net assets	$	63		$	125			$	45		$	70		$	540		$	624

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		29

SSgA
Fixed Income Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$				$			$			$			$
	Net Asset Value,		$		Net Realized			Total from			Distributions			Distributions
	Beginning of		Net Investment		and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)		Gain (Loss)			Operations			Investment Income			Realized Gain
Bond Market Fund

Institutional Class
February 29, 2012*		8.98		.12		.12			.24			(.13	)		—
August 31, 2011		8.86		.31		.12			.43			(.31	)		—
August 31, 2010		8.39		.33		.47			.80			(.33	)		—
August 31, 2009		8.17		.35		.23			.58			(.36	)		—
August 31, 2008		9.14		.44		(.99	)		(.55	)		(.42	)		—
August 31, 2007		9.78		.49		(.63	)		(.14	)		(.50	)		—	(b)

Class R
February 29, 2012*		8.92		.10		.07			.17			(.05	)		—
August 31, 2011		8.79		.29		.13			.42			(.29	)		—
August 31, 2010		8.33		.30		.47			.77			(.31	)		—
August 31, 2009		8.12		.33		.22			.55			(.34	)		—
August 31, 2008		9.11		.36		(.95	)		(.59	)		(.40	)		—
August 31, 2007		9.78		.47		(.62	)		(.15	)		(.52	)		—	(b)

Intermediate Fund

February 29, 2012*		9.16		.07		.07			.14			(.08	)		—
August 31, 2011		9.00		.21		.16			.37			(.21	)		—
August 31, 2010		8.59		.24		.41			.65			(.24	)
August 31, 2009		8.34		.26		.26			.52			(.27	)		—
August 31, 2008		9.00		.38		(.64	)		(.26	)		(.40	)		—
August 31, 2007		9.62		.47		(.63	)		(.16	)		(.46	)		—

High Yield Bond Fund

February 29, 2012*		7.90		.26		.41			.67			(.27	)		—
August 31, 2011		7.84		.58		.06			.64			(.58	)		—
August 31, 2010		7.12		.73		.74			1.47			(.75	)		—
August 31, 2009		7.60		.64		(.48	)		.16			(.64	)		—
August 31, 2008		8.27		.61		(.68	)		(.07	)		(.60	)		—
August 31, 2007		8.31		.60		(.04	)(d)		.56			(.60	)		—


*		For six months ended February 29, 2012 (Unaudited).
(a)		Average daily shares outstanding were used for this calculation.
(b)		Less than $.005 per share.
(c)		May reflect amounts waived and/or reimbursed by the investment advisor, and for certain funds, custody credit arrangements. The custody credit arrangement had an impact of less than 0.005% per share.
(d)		Includes redemption fees less than .005% per share.
(e)		Periods less than one year are not annualized.
(f)		The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.


30		Financial Highlights


														%
										%		%		Ratio of Net
			$					$		Ratio of Expenses		Ratio of Expenses		Investment
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return(e)			(000)		Net(c)(f)		Gross(f)		Net Assets(c)(f)		Turnover Rate(e)



	(.13	)		9.09		2.73			34,016		.50		1.25		2.65		125
	(.31	)		8.98		5.00			43,483		.50		1.08		3.51		447
	(.33	)		8.86		9.79			45,903		.50		1.08		3.89		502
	(.36	)		8.39		7.39			41,151		.50		1.08		4.41		408
	(.42	)		8.17		(6.14	)		52,456		.50		.78		4.96		287
	(.50	)		9.14		(1.64	)		276,017		.50		.61		4.93		368


	(.05	)		9.04		1.91			13		1.00		1.81		2.31		125
	(.29	)		8.92		4.96			281		.75		1.33		3.25		447
	(.31	)		8.79		9.43			263		.85		1.43		3.52		502
	(.34	)		8.33		7.02			151		.68		1.27		4.09		408
	(.40	)		8.12		(6.62	)		12		1.00		1.54		4.23		287
	(.52	)		9.11		(1.73	)		20		.57		.68		4.88		368



	(.08	)		9.22		1.49			39,465		.60		1.19		1.53		113
	(.21	)		9.16		4.15			38,596		.60		1.13		2.30		533
	(.24	)		9.00		7.75			38,628		.60		1.15		2.78		538
	(.27	)		8.59		6.42			41,308		.60		1.84		3.19		414
	(.40	)		8.34		(2.94	)		38,497		.60		1.06		4.42		330
	(.46	)		9.00		(1.78	)		53,499		.60		.87		4.73		511



	(.27	)		8.30		8.80			114,396		.75		.90		6.54		77
	(.58	)		7.90		8.16			78,626		.75		.83		7.02		294
	(.75	)		7.84		21.46			51,398		.75		1.01		9.43		294
	(.64	)		7.12		3.65			51,856		.75		1.06		10.20		289
	(.60	)		7.60		(.87	)		50,365		.75		1.02		7.66		106
	(.60	)		8.27		6.85			33,919		.75		.99		7.01		95

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		31

SSgA
Fixed Income Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on three funds: the SSgA Bond Market Fund, SSgA Intermediate Fund and SSgA High Yield Bond Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at $.001 par value.

Effective July 31, 2003, the Bond Market Fund began offering Class R shares. Class R shares may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.


2.		Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, bank notes and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable, such as issuer details, interest rates, yield curves, prepayment speeds, credit


32		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

risks/spreads and default rates. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Financial over-the-counter derivative instruments are instruments such as foreign currency contracts, options contracts, or swap agreements that derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.


Notes to Financial Statements		33

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The NAVof a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem fund shares, since foreign securities can trade on non-business days.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAY, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons action at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities valuation procedures are intended to result in a calculation of a Fund’s NAY that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

The levels associated with valuing the Funds’ investments for the period ended February 29, 2012 are disclosed in the Presentation of Portfolio Holdings following the Schedules of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded on the ex-dividend date and interest income is recorded daily on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted using the interest method.

Federal Income Taxes


34		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


	Expiration Year
	08/31/2012		08/31/2013		08/31/2014		08/31/2015		08/31/2016		08/31/2017		08/31/2018		08/31/2019		Total
Bond Market Fund	$	—	$	—	$	—	$	1,471,288	$	195,353	$	40,164,567	$	21,453	$	—	$	41,852,661
Intermediate Fund		—		—		—		484,888		746,581		6,235,911		—		—		7,467,380
High Yield Fund		—		—		—		—		—		368,598		—		—		368,598

As of August 31, 2011, the Funds’ aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:


	Bond Market			Intermediate			High Yield Bond
	Fund			Fund			Fund
Cost of Investments for Tax Purposes	$	33,437,384		$	38,560,851		$	112,286,853

Gross Tax Unrealized Appreciation		1,601,869			1,048,668			5,319,727
Gross Tax Unrealized Depreciation		(28,585	)		(29,829	)		(501,010	)

Net Unrealized Appreciation (Depreciation)	$	1,573,284		$	1,018,839		$	4,818,717

As permitted by tax regulations, the Bond Market Fund intends to defer a net realized capital loss incurred from November 1, 2010 to August 31, 2011 in the amount of $44,863 and treat it as arising in the fiscal year 2012.

Dividends and Distributions to Shareholders

The Funds declare and pay dividends monthly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for “U.S. GAAP” purposes. These differences relate primarily to investments in futures, options, losses deferred due to wash sales and straddles, and capital loss carryforwards. Permanent differences between book and tax accounting are reclassified to paid in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.

Expenses

The Bond Market Fund offers Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Forward Commitments/Mortgage Dollar Rolls

The Funds may contract to purchase securities for a fixed price at a future date beyond customary settlement time (not to exceed 120 days) (i.e., a “forward commitment” or “delayed settlement” transaction, e.g., to be announced (“TBA”)) consistent with a


Notes to Financial Statements		35

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Fund’s ability to manage its investment portfolio and meet redemption requests. The Funds may enter into mortgage dollar rolls (principally in TBA’s) in which a Fund sells a mortgage security and simultaneously contracts to repurchase a substantially similar mortgage security on a specified future date. A forward commitment transaction involves a risk of loss if the value of the security to be purchased or sold by the Fund increases or decreases below the repurchase price of those securities or the other party to the transaction fails to complete the transaction. The Funds record forward commitments on trade date and maintain security positions such that sufficient liquid assets will be available to make payments for the securities purchased.

High Yield Securities

The Funds may invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield instruments reflect, among other things, perceived credit risk. The Funds’ investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

Mortgage and Asset-Backed Securities

The Funds invest a portion of their assets in securities of issuers that hold mortgage and asset backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

United States Treasury Inflation Indexed Bonds

Inflation indexed securities are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. Any increase (decrease) in the principal amount of an inflation indexed security is recorded as interest income, even though the principal is not received until maturity.

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in each Fund’s Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and credit default swaps. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objectives.

The Funds typically use derivatives in three ways: cash equitization, hedging and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in a Fund. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk, counterparty risk, interest rate risk and credit risk.


36		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The fair values of the Funds’ Derivative Instruments as shown on the Statements of Assets and Liabilities, categorized by risk exposure for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Bond Market		Intermediate		High Yield Bond
	Fund		Fund		Fund
Derivatives not accounted for as hedging instruments	Interest Rate Contracts		Interest Rate Contracts		Credit Contracts
Location
Statement of Assets and Liabilities — Assets
Investments at market*	$	5	$	6	$	—
Daily variation margin on futures contracts**		2		2		—

Total	$	7	$	8	$	—

Location
Statement of Assets and Liabilities — Liabilities
Daily variation margin on futures contracts**	$	3	$	6	$	—
Credit default swap contracts, at market value swap		—		—		20
Options written, at market value		4		5

Total	$	7	$	11	$	20


	*	Market value of purchased options.
	**	Includes cumulative appreciation/depreciation of futures contracts as reported in Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets & Liabilities.

The effects of Derivative Instruments on the Statements of Operations for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Bond Market			Intermediate			High Yield Bond
	Fund			Fund			Fund
Derivatives not accounted for as hedging instruments	Interest Rate Contracts			Interest Rate Contracts			Credit Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	(80	)	$	(59	)	$	—
Credit default swap contracts, at market value		—			—			119

Total	$	(80	)	$	(59	)	$	119

Location
Statement of Operations — Net change in unrealized appreciation (depreciation)
Futures contracts	$	12		$	5		$	—
Credit default swap contracts, at market value		—			—			76
Options written, at market value		(1	)		(1	)		—

Total	$	11		$	4		$	76

For the period ended February 29, 2012, the Funds’ quarterly holdings of futures contracts were as follows:


	Number of Futures Contracts Outstanding
Quarter Ended	November 30, 2011		February 29, 2012
Bond Market Fund		50		37
Intermediate Fund		52		53

For the period ended February 29, 2012, the High Yield Bond Fund’s quarterly holdings of swap contracts were as follows:


	Credit Default Swap Notional Amounts Outstanding
Quarter Ended	November 30, 2011		February 29, 2012
High Yield Bond Fund		—		2,667,500


Notes to Financial Statements		37

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

For the period ended February 29, 2012, the Fund’s quarterly holdings of option contracts were as follows:


	Number of Option Contracts Outstanding
Quarter Ended	November 30, 2011		February 29, 2012
Bond Market Fund		—		21
Intermediate Fund		—		24

Futures Contracts

The Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by each Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement value are accounted for as unrealized appreciation (depreciation) until the contracts are terminated, at which time realized gains and losses are recognized.

Credit Default Swaps

The High Yield Bond Fund may enter into credit default swaps. A credit default swap can refer to corporate issues, asset-backed securities or an index of assets, each known as the reference entity or underlying asset. The Fund may act as either the buyer or the seller of a credit default swap involving one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Depending upon the terms of the contract, the credit default swap may be closed via physical settlement. However, due to the possible or potential instability in the market, there is a risk that the Fund may be unable to deliver the underlying debt security to the other party to the agreement. Additionally, the Fund may not receive the expected amount under the swap agreement if the other party to the agreement defaults or becomes bankrupt. In an unhedged credit default swap, the Fund enters into a credit default swap without owning the underlying asset or debt issued by the reference entity. Credit default swaps allow the Fund to acquire or reduce credit exposure to a particular issuer, asset or basket of assets.

Credit default swaps could result in losses if the Fund does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the Fund had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity and counterparty risk. The Fund will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Fund may lose its upfront or periodic payments previously made and recover nothing should a credit event fail to occur and the swap is held to its termination date. As a seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Fund, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to the Fund.

If the creditworthiness of a Fund’s swap counterparty declines, the risk that the counterparty may not perform could increase, potentially resulting in a loss to the Fund. To limit the counterparty risk involved in swap agreements, the Fund will only enter into swap agreements with counterparties that meet certain standards of creditworthiness. Although there can be no assurance that the Fund will be able to do so, the Fund may be able to reduce or eliminate its exposure under a swap agreement either by assignment or other disposition, or by entering into an offsetting swap agreement with the same party or another creditworthy party. The Fund may have limited ability to eliminate its exposure under a credit default swap if the credit of the reference entity or underlying asset has declined.

For the period ended February 29, 2012, the Funds entered into credit default swaps primarily for the strategies listed below:


Funds		Strategies

SSgA High Yield Bond Fund		Market exposure


38		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Guarantees


3.		Investment Transactions

Securities

For the period ended February 29, 2012, purchases and sales of investment securities, excluding U.S. government and agency obligations, short-term investments, derivative contracts aggregated to the following:


	Purchases		Sales
Bond Market Fund	$	10,325,956	$	15,023,238
Intermediate Fund		10,144,354		12,924,056
High Yield Bond Fund		97,347,646		62,716,838

U.S. Government and Agencies

For the period ended February 29, 2012, purchases and sales of U.S. government and agency obligations, excluding short-term investments, aggregated to the following:


	Purchases		Sales
Bond Market Fund	$	33,443,031	$	34,719,785
Intermediate Fund		37,088,157		30,514,632

Written Options Contracts

Transactions in written options contracts for the period ended February 29, 2012 for the following Funds were as follows:


	Bond Market Fund				Intermediate Fund
	Number of		Premiums		Number of		Premiums
	Contracts		Received		Contracts		Received
Outstanding August 31, 2011		—	$	—		—	$	—
Opened		14		3,548		16		3,712
Closed		—		—		—		—
Expired		—		—		—		—

Outstanding February 29, 2012		14	$	3,548		16	$	3,712


4.		Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Advisor manages the Funds pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Advisor, calculated daily and paid monthly, at the following annual rates of their average daily net assets:


Funds	%
Bond Market Fund		0.30
Intermediate Fund		0.30
High Yield Bond Fund		0.30


Notes to Financial Statements		39

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

If the total expenses of the Institutional Class are above its cap, the Advisor will waive its Advisory fee for both the Institutional and Class R in an equal amount to reduce the total expenses to the level of the cap in effect for the Institutional Class. If thereafter the total expenses for Class R remain above the total expense cap in effect for Class R, then State Street Global Markets, LLC (the “Distributor”) a wholly-owned subsidiary of State Street Corporation will waive up to 0.70% of the average daily net assets of the distribution (12b-1) and service fee to further reduce the total expenses of Class R to the level of its cap. If after waiving the full 0.70% of the average daily net assets of Class R and Class R remains above the total expense cap, then the Advisor will reimburse Class R for all expenses to the level of the cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of its average daily net assets of Class R distribution (12b-1) and service fees.

The Advisor has contractually agreed to waive up to the full amount of the Bond Market Fund’s Institutional Class and Class R advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 0.50% and 1.00%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $53,480 for the Institutional Class and $120 for Class R. The total amount of the distribution fee waiver for Class R for the period ended February 29, 2012 was $24. The total amount of reimbursements for the period ended February 29, 2012 was $78,482 for the Institutional Class and $179 for Class R.

The Advisor has contractually agreed to waive up to the full amount of the Intermediate Fund’s advisory fees and reimburse the Fund for all expenses in excess of 0.60% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 29, 2012 was $59,042. The total amount of reimbursements for the period ended February 29, 2012 was $56,781.

The Advisor has contractually agreed to waive up to the full amount of the High Yield Bond Fund’s advisory fees and reimburse the Fund for all expenses in excess of 0.75% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 29, 2012 was $63,057. There were no reimbursements for the period ended February 29, 2012.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 29, 2012, $11,969,756 of the Central Fund’s net assets represents investments by these Funds, and $16,004,859 represents the investments of other Investment Company Funds not presented herein.

Amounts related to investments in the Central Fund during the period ended February 29, 2012 were as follows:


			Purchases		Sales		Realized		Income
Funds	Market Value		Cost		Cost		Gain (Loss)		Distributions
Bond Market Fund	$	1,097,912	$	12,124,617	$	14,597,380	$	—	$	550
Intermediate Fund		459,598		9,157,221		10,947,860		—		435
High Yield Bond Fund		10,412,245		64,671,977		59,250,149		—		3,825


40		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

each participating Fund in an amount that offsets the amount of such fee incurred by the participating Fund. For the period ended February 29, 2012, the total advisory fees waived are as follows:


	Amount Paid
Bond Market Fund	$	1,137
Intermediate Fund		875
High Yield Bond Fund		5,647


	Amount Paid
High Yield Bond Fund	$	2

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly-owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all three of the Investment Company’s U.S. Fixed Income portfolios: $0 up to $1 billion — 0.0315%; over $1 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

Institutional Class

Each Fund has a shareholder servicing agreement with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Institutional Class pays 0.025% to State Street, and a maximum of 0.175% to each of the Agents, based upon the average daily value of all Institutional Class shares held by or for customers of these Agents.


Notes to Financial Statements		41

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

For the period ended February 29, 2012, each Institutional Class paid the following shareholder servicing expenses to the Agents:


					High Net Worth
	State Street		Global Markets		Services
Bond Market Fund	$	1,131	$	105	$	37
Intermediate Fund		562		68		66
High Yield Bond Fund		1,689		690		172

The Institutional Class did not incur any expenses from Fiduciary Investors Services or High Net Worth Services during the period.

Class R

Board of Trustees


42		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


	Bond Market		Intermediate		High Yield Bond
	Fund		Fund		Fund
Advisory fees	$	8,159	$	9,423	$	26,089
Administration fees		3,332		3,456		5,230
Custodian Fees		7,931		4,927		5,167
Distribution fees		2,560		3,168		—
Shareholder servicing fees		2,961		5,682		7,760
Transfer agent fees		10,562		6,163		2,546
Trustee fees		2,395		2,249		2,619

	$	37,900	$	35,068	$	49,411


5.		Fund Share Transactions


	(amounts in thousands)
	For the Periods Ended
	February 29, 2012						August 31, 2011
	Shares			Dollars			Shares			Dollars

Bond Market Fund
Institutional Class
Proceeds from shares sold		285		$	2,566			863		$	7,614
Proceeds from reinvestment of distributions		59			533			179			1,581
Payments for shares redeemed		(1,442	)		(12,999	)		(1,386	)		(12,278	)

		(1,098	)		(9,900	)		(344	)		(3,083	)


Class R
Proceeds from shares sold		—			3			6			54
Proceeds from reinvestment of distributions		—			2			1			8
Payments for shares redeemed		(30	)		(272	)		(5	)		(46	)

		(30	)		(267	)		2			16

Total net increase (decrease)		(1,128	)	$	(10,167	)		(342	)	$	(3,067	)

Intermediate Fund
Proceeds from shares sold		334		$	3,058			1,508		$	13,625
Proceeds from reinvestment of distributions		36			326			99			889
Payments for shares redeemed		(306	)		(2,796	)		(1,682	)		(15,152	)

Total net increase (decrease)		64		$	588			(75	)	$	(638	)

High Yield Bond Fund
Proceeds from shares sold		9,402		$	74,491			19,919		$	165,252
Proceeds from reinvestment of distributions		369			2,889			756			6,257
Payments for shares redeemed		(5,942	)		(46,884	)		(17,282	)		(142,781	)

Total net increase (decrease)		3,829		$	30,496			3,393		$	28,728


6.		Interfund Lending Program


Notes to Financial Statements		43

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in a lost investment opportunity or additional borrowing costs. For the period ended February 29, 2012, the Funds did not utilize the Interfund Lending Program.


7.		Restricted Securities

A Fund may invest a portion of its net assets not to exceed 15% in securities that are illiquid. Illiquid securities are securities that may not be readily marketable, and that cannot be sold within seven days in the ordinary course of business at the approximate amount at which the Fund has valued the securities. Restricted securities are generally considered to be illiquid.

As of February 29, 2012, there were no restricted securities held by a fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.


8.		Dividends

On March 1, 2012, the Funds declared the following dividends from net investment income payable on March 7, 2012 to shareholders of record March 2, 2012.


	Net Investment
	Income
Bond Market Fund - Institutional Class	$	0.0157
Bond Market Fund - Class R		0.0000
Intermediate Fund		0.0099
High Yield Bond Fund		0.0393

On April 2, 2012, the Funds declared the following dividends from net investment income payable on April 9, 2012 to shareholders of record April 3, 2012.


	Net Investment
	Income
Bond Market Fund - Institutional Class	$	0.0215
Bond Market Fund - Class R		0.0084
Intermediate Fund		0.0126
High Yield Bond Fund		0.0444


9.		Market, Credit and Counterparty Risk


44		Notes to Financial Statements

SSgA
Fixed Income Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


10.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review nothing was discovered, except for the following, which would require disclosure within the financial statements.


Notes to Financial Statements		45

SSgA
Fixed Income Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)


46		Shareholder Requests for Additional Information

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial
Center
One Lincoln Street
Boston, MA
02111-2900

Trustee since
November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing
Director, Chairman, SSgA Investment
Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College;
Member of Berea Investment Committee,
Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman,
Financial Service Sector Coordinating
Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Member, Board of
Trustees (Chairman of
the Board from 1988
to December 2008)

Member, Audit
Committee,

Chairman, Governance
Committee

Member, Valuation
Committee

Member, Qualified
Legal and Compliance
Committee

Until successor
is elected by
Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional
financial consultant)(Retired);

• March 2007 to September 2010,
member, IDC Board of Governors;

• September 2007 to September 2010,
member Investment Company Institute Board of Governors;

• September 2008 to September 2010,
member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell
Trust Company (Retired).

None


Disclosure of Information about Fund Trustees and Officers		47

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall
Born December 12, 1942

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit
Committee

Member, Governance
Committee

Member, Valuation
Committee

Member, Qualified
Legal
and Compliance
Committee

Until successor
is elected by
Trustees

• Chief Executive Officer and
President, Wm. L. Marshall Associates, Inc., Wm.
L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a
registered investment advisor and
provider of financial and related consulting services);

• Certified Financial Planner and
Member, Financial Planners
Association; and

• Registered Representative and
Principal for Securities with
Cambridge Investment Research,
Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Independent
Chairman of the
Board since January
2009

Member (ex-officio),
Audit Committee

Member (ex-officio),
Governance Committee

Member (ex-officio),
Valuation Committee

Member (ex-officio),
Qualified Legal and
Compliance Committee

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke
& Donahue, L.L.P. (law firm);

• 1998 to Present, Independent
Director, State Street Global
Advisors Ireland, Ltd. (investment
company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent
Director, SSgA Liquidity plc
(formerly, SSgA Cash Management
Fund plc);

• January 2009 to Present,
Independent Director, SSgA Fixed
Income plc; and

• January 2009 to Present,
Independent Director, SSgA
Qualified Funds plc.

None


48		Disclosure of Information about Fund Trustees and Officers

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years; and

in Fund

Other

Name,

with SSgA Funds;

Term

Other Relevant

Complex

Directorships Held

Age,

Length of

Experience, Attributes

Overseen

by Trustee

Address

Time Served

Office

and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit
Committee

Member, Governance
Committee

Member, Valuation
Committee

Chairman, Qualified
Legal and Compliance
Committee

Until successor is elected by Trustees

• March 2001 to April 2002,
Chairman (1996 to March 2001,
President and Chief Executive
Officer), Cerulean Companies, Inc.
(holding company) (Retired);

• 1992 to March 2001, President and
Chief Executive Officer, Blue Cross
Blue Shield of Georgia (health
insurer, managed healthcare);

• 1998 to December 2008, Chairman,
Board Member and December 2008
to Present, Investment Committee
Member, Healthcare Georgia
Foundation (private foundation);

• September 2002 to Present, Lead
Director and Board Member,
Amerigroup Corp. (managed health
care);

• 1999 to Present, Board Member and
(since 2001) Investment Committee
Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg
College.

None

Bruce D. Taber
Born April 25, 1943

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit
Committee

Member, Governance
Committee

Chairman, Valuation
Committee

Member, Qualified
Legal and Compliance
Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy
LLC (a technology company
providing Computer Modeling and
System Analysis to the General
Electric Power Generation Division);

• Until December 2008, Independent
Director, SSgA Cash Management
Fund plc;

• Until December 2008, Independent
Director, State Street Global
Advisors Ireland, Ltd. (investment
companies); and

• Until August 1994, President,
Alonzo B. Reed, Inc., (a Boston
architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


Disclosure of Information about Fund Trustees and Officers		49

SSgA
Fixed Income Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18^th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


50		Disclosure of Information about Fund Trustees and Officers

SSgA
Fixed Income Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Officer and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center, One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers		51

FISAR-02/12

MONEY MARKET FUNDS

Money Market Fund
U.S. Government Money Market Fund
Tax Free Money Market Fund

Semiannual Report
February 29, 2012

SSgA Funds

Money Market Funds

Semiannual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

Money Market Fund		3
U.S. Government Money Market Fund		9
Tax Free Money Market Fund		15
Notes to Schedules of Investments		20
Statements of Assets and Liabilities		21
Statements of Operations		22
Statements of Changes in Net Assets		23
Financial Highlights		24
Notes to Financial Statements		26
Shareholder Requests for Additional Information		33
Disclosure of Information about Fund Trustees and Officers		34
Fund Management and Service Providers		38

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This page has been intentionally left blank.

SSgA
Money Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,000.02	$	1,023.52
Expenses Paid During Period*	$	1.34	$	1.36


*	Expenses are equal to the Fund’s annualized expense ratio of 0.27% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Money Market Fund		3

This page has been intentionally left blank.

SSgA
Money Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		% (#)			Maturity	$

Asset Backed Commercial Paper - 7.0%
Aspen Funding Corp. (λ)		50,000		0	.300	03/02/12		50,000
Kells Funding LLC (λ)		75,000		0	.520	03/08/12		74,992
Kells Funding LLC (λ)		75,000		0	.410	03/16/12		74,987
Kells Funding LLC (λ)		25,000		0	.460	04/04/12		24,989
Kells Funding LLC (λ)		40,000		0	.540	04/25/12		39,967
Newport Funding Corp. (λ)		50,000		0	.300	03/02/12		50,000
Solitaire Funding LLC (λ)		25,000		0	.335	03/19/12		24,996
Solitaire Funding LLC (λ)		20,000		0	.410	05/08/12		19,984


Total Asset Backed Commercial Paper (amortized cost $359,915)								359,915


Certificate of Deposit - 47.5%
Bank of Montreal (next reset date 04/10/12) (Ê)		25,000		0	.632	12/05/12		25,000
Bank of Nova Scotia (next reset date 05/16/12) (Ê)		30,000		0	.647	09/14/12		30,000
Bank of Tokyo - Mitsubishi		100,000		0	.180	03/07/12		100,000
Bank of Tokyo - Mitsubishi		125,000		0	.170	03/26/12		125,000
Barclays Bank (Ê)		150,000		0	.434	03/02/12		150,000
Barclays Bank		75,000		0	.370	03/26/12		75,000
Credit Suisse		75,000		0	.400	04/12/12		75,000
Credit Suisse		40,000		0	.400	04/13/12		40,000
Credit Suisse (next reset date 03/05/12)		51,000		0	.414	12/05/12		51,000
Deutsche Bank AG (next reset date 03/05/12) (Ê)		50,000		0	.462	04/03/12		50,000
Deutsche Bank AG		50,000		0	.330	05/01/12		50,000
Deutsche Bank AG		25,000		0	.370	05/24/12		25,000
DnB Bank ASA		23,000		0	.400	04/13/12		23,000
ING Bank NV		25,000		0	.450	03/12/12		25,000
ING Bank NV		50,000		0	.520	04/02/12		50,000
ING Bank NV		75,000		0	.560	05/03/12		75,000
ING Bank NV		50,000		0	.560	05/07/12		50,000
Lloyds TSB Bank		100,000		0	.390	03/12/12		100,000
Lloyds TSB Bank		50,000		0	.390	03/13/12		50,000
Lloyds TSB Bank		50,000		0	.370	03/26/12		50,000
National Australia Bank Ltd. (next reset date 03/05/12)		125,000		0	.394	08/03/12		125,000
National Bank of Canada (next reset date 03/27/12) (Ê)		15,000		0	.364	07/25/12		15,000
Nordea Bank AB		50,000		0	.250	03/05/12		50,000
Nordea Bank AB		75,000		0	.390	04/11/12		75,000
Rabobank Nederland NV (next reset date 03/02/12) (Ê)		100,000		0	.364	04/02/12		100,000
Rabobank Nederland NV (next reset date 03/14/12) (Ê)		28,000		0	.310	05/14/12		28,000
Rabobank Nederland NV (next reset date 03/14/12) (Ê)		28,000		0	.320	05/14/12		28,000
Royal Bank of Scotland		7,000		0	.390	03/26/12		7,000
Royal Bank of Scotland		7,000		0	.460	04/16/12		7,000
Royal Bank of Scotland		6,000		0	.500	04/23/12		6,000
Royal Bank of Scotland		7,000		0	.520	05/01/12		7,000
Royal Bank of Scotland		25,000		0	.510	05/07/12		25,000
Skandinaviska Enskilda Banken AB		85,000		0	.470	03/06/12		85,000
Skandinaviska Enskilda Banken AB		70,000		0	.470	03/09/12		70,000
Standard Chartered Bank		75,000		0	.540	04/16/12		75,000
Standard Chartered Bank		105,000		0	.540	04/19/12		105,000
Sumitomo Mitsui Banking Corp.		75,000		0	.170	03/26/12		75,000
Svenska Handelsbanken AB		13,000		0	.220	03/05/12		13,000


Money Market Fund		5

SSgA
Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		% (#)			Maturity	$
Svenska Handelsbanken AB		25,000		0	.210	03/13/12		25,000
Swedbank AB		100,000		0	.500	05/07/12		100,000
Toronto Dominion Bank (next reset date 05/02/12) (Ê)		13,000		0	.542	02/04/13		13,000
UBS AG		25,000		0	.380	03/12/12		25,000
UBS AG (next reset date 03/27/12) (Ê)		85,000		0	.744	07/27/12		85,000
UBS AG (next reset date 04/30/12) (Ê)		85,000		0	.811	07/30/12		85,000


Total Certificate of Deposit (amortized cost $2,448,000)								2,448,000


Financial Company Commercial Paper - 9.5%
Australia & New Zealand Banking Group Ltd. (next reset date 03/07/12) (Ê)(λ)		27,000		0	.533	06/07/12		27,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/08/12) (Ê)(λ)		21,000		0	.540	06/08/12		21,000
DnB Bank ASA (λ)		19,000		0	.406	04/18/12		18,990
DnB Bank ASA (next reset date 04/30/12) (Ê)(λ)		41,000		0	.621	07/31/12		41,000
General Electric Capital Corp.		95,000		0	.280	04/05/12		94,974
General Electric Co.		25,000		0	.150	03/29/12		24,997
HSBC Bank PLC (Ê)(λ)		20,000		0	.374	08/02/12		20,000
NRW Bank (λ)		70,000		0	.243	03/12/12		69,995
NRW Bank (λ)		45,000		0	.350	04/25/12		44,976
Sumitomo Mitsui Banking Corp. (λ)		50,000		0	.183	03/07/12		49,999
Toyota Motor Credit Corp.		75,000		0	.250	05/15/12		74,961


Total Financial Company Commercial Paper (amortized cost $487,892)								487,892


Other Note - 10.3%
Commonwealth Bank of Australia (next reset date 04/27/12) (Ê)(λ)		24,000		0	.706	11/26/12		24,000
JP Morgan Chase Bank NA		202,000		0	.010	03/01/12		202,000
Nordea Bank AB (next reset date 05/18/12) (Ê)(λ)		74,000		0	.663	11/16/12		74,000
Rabobank Nederland NV (next reset date 05/16/12) (Ê)(λ)		80,000		0	.637	12/14/12		80,000
Svenska Handelsbanken AB (Ê)(λ)		26,000		0	.690	05/08/12		26,000
Svenska Handelsbanken AB (Ê)(λ)		100,000		0	.595	05/16/12		100,000
Westpac Banking Corp. (next reset date 04/30/12) (Ê)		27,000		0	.703	11/27/12		27,000


Total Other Note (amortized cost $533,000)								533,000


Total Investments - 74.3% (amortized cost $3,828,807)								3,828,807


Repurchase Agreements - 25.7% Government Agency Repurchase Agreement - 22.3%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $100,000 dated February 28, 2012 at 0.140% to be repurchased at $100,003 on March 6, 2012, collateralized by: $310,714 par various United States Government Agency Mortgage Obligations valued at $102,000								100,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $200,000 dated February 29, 2012 at 0.210% to be repurchased at $200,001 on March 1, 2012, collateralized by: $335,356 par various United States Government Agency Mortgage Obligations valued at $204,000								200,000


6		Money Market Fund

SSgA
Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Value
	$
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $200,000 dated February 29, 2012 at 0.190% to be repurchased at $200,001 on March 1, 2012, collateralized by: $204,817 par various United States Government Agency Mortgage Obligations valued at $204,000		200,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $100,000 dated February 29, 2012 at 0.200% to be repurchased at $100,001 on March 1, 2012, collateralized by: $115,813 par various United States Government Agency Mortgage Obligations valued at $102,000		100,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $200,000 dated February 29, 2012 at 0.210% to be repurchased at $200,001 on March 1, 2012, collateralized by: $259,831 par various United States Government Agency Mortgage Obligations valued at $204,000		200,000
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $150,000 dated February 29, 2012 at 0.190% to be repurchased at $150,001 on March 1, 2012, collateralized by: $187,523 par various United States Government Agency Mortgage Obligations valued at $153,000		150,000
Agreement with Morgan Stanley and The Bank of New York Mellon Corp. (Tri-Party) of $200,000 dated February 29, 2012 at 0.200% to be repurchased at $200,001 on March 1, 2012, collateralized by: $227,968 par various United States Government Agency Mortgage Obligations valued at $204,000		200,000


Total Government Agency Repurchase Agreement (identified cost $1,150,000)		1,150,000


Treasury Repurchase Agreement - 3.4%
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $125,199 dated February 29, 2012 at 0.170% to be repurchased at $125,200 on March 1, 2012, collateralized by: $111,879 par various United States Treasury Obligations valued at $127,703		125,199
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $50,000 dated February 29, 2012 at 0.170% to be repurchased at $50,000 on March 1, 2012, collateralized by: $48,229 par various United States Treasury Obligations valued at $51,000		50,000


Total Treasury Repurchase Agreement (identified cost $175,199)		175,199


Total Repurchase Agreements (identified cost $1,325,199)		1,325,199


Total Investments and Repurchase Agreements - 100.0%* (cost $5,154,006) (†)		5,154,006

Other Assets and Liabilities, Net - (0.0%)		(160	)


Net Assets - 100.0%		5,153,846

See accompanying notes which are an integral part of the financial statements.


Money Market Fund		7

SSgA
Money Market Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


	% of
	Net
Categories	Assets
Asset Backed Commercial Paper		7.0
Certificates of Deposit		47.5
Financial Company Commercial Paper		9.5
Other Notes		10.3
Repurchase Agreements		25.7

Total Investments and Repurchase Agreements		100.0
Other Assets and Liabilities, Net		(—	)**

		100.0


**		Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.


8		Money Market Fund

SSgA
U.S. Government Money Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,000.00	$	1,024.52
Expenses Paid During Period*	$	0.35	$	0.35


*	Expenses are equal to the Fund’s annualized expense ratio of 0.07% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


U.S. Government Money Market Fund		9

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SSgA
U.S. Government Money Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		% (#)			Maturity	$

Government Agency Debt - 59.8%
Federal Home Loan Bank		43,935		0	.065	04/09/12		43,932
Federal Home Loan Bank		10,000		0	.090	04/25/12		9,999
Federal Home Loan Bank		27,142		0	.075	05/04/12		27,138
Federal Home Loan Bank		18,830		0	.080	05/04/12		18,827
Federal Home Loan Bank		18,808		0	.080	05/09/12		18,805
Federal Home Loan Bank		29,000		0	.095	05/09/12		28,995
Federal Home Loan Bank		21,000		0	.135	05/11/12		20,994
Federal Home Loan Bank		27,000		0	.140	05/16/12		26,992
Federal Home Loan Bank		22,000		0	.150	05/16/12		21,993
Federal Home Loan Bank		16,000		0	.152	05/16/12		15,995
Federal Home Loan Bank		21,922		0	.050	05/18/12		21,920
Federal Home Loan Bank		23,000		0	.105	05/18/12		22,995
Federal Home Loan Bank		14,000		0	.090	05/23/12		13,997
Federal Home Loan Bank		32,000		0	.070	06/20/12		31,993
Federal Home Loan Bank		9,574		0	.080	07/18/12		9,571
Federal Home Loan Bank		45,770		0	.080	07/20/12		45,756
Federal Home Loan Bank		19,000		0	.080	07/25/12		18,994
Federal Home Loan Bank		11,000		0	.150	07/25/12		10,993
Federal Home Loan Bank		11,000		0	.125	08/08/12		10,994
Federal Home Loan Bank		27,000		0	.170	08/15/12		26,979
Federal Home Loan Mortgage Corp.		52,116		0	.040	03/21/12		52,115
Federal Home Loan Mortgage Corp. (next reset date 03/04/12) (Ê)		53,000		0	.234	04/03/12		53,001
Federal Home Loan Mortgage Corp.		13,473		0	.050	04/09/12		13,472
Federal Home Loan Mortgage Corp.		56,434		0	.075	05/07/12		56,426
Federal Home Loan Mortgage Corp.		39,291		0	.080	05/08/12		39,285
Federal Home Loan Mortgage Corp. (next reset date 03/11/12) (Ê)		77,000		0	.233	05/11/12		77,005
Federal Home Loan Mortgage Corp.		24,641		0	.075	05/14/12		24,637
Federal Home Loan Mortgage Corp.		18,164		0	.050	05/16/12		18,162
Federal Home Loan Mortgage Corp.		11,503		0	.060	06/01/12		11,501
Federal Home Loan Mortgage Corp.		22,477		0	.060	06/11/12		22,473
Federal Home Loan Mortgage Corp.		36,430		0	.060	06/18/12		36,423
Federal Home Loan Mortgage Corp.		21,000		0	.105	06/26/12		20,993
Federal Home Loan Mortgage Corp.		5,000		0	.125	07/02/12		4,998
Federal Home Loan Mortgage Corp.		26,822		0	.080	07/09/12		26,814
Federal Home Loan Mortgage Corp.		13,916		0	.080	07/16/12		13,912
Federal Home Loan Mortgage Corp.		39,045		0	.080	07/23/12		39,033
Federal Home Loan Mortgage Corp.		8,842		0	.085	07/23/12		8,839
Federal Home Loan Mortgage Corp.		20,000		0	.125	07/30/12		19,990
Federal Home Loan Mortgage Corp.		28,000		0	.140	07/30/12		27,984
Federal National Mortgage Assoc.		40,000		0	.070	03/28/12		39,998
Federal National Mortgage Assoc.		200,000		0	.030	04/02/12		199,995
Federal National Mortgage Assoc.		57,082		0	.030	04/23/12		57,079
Federal National Mortgage Assoc.		22,451		0	.050	05/09/12		22,449
Federal National Mortgage Assoc.		24,731		0	.075	05/09/12		24,727
Federal National Mortgage Assoc.		10,721		0	.080	05/09/12		10,719
Federal National Mortgage Assoc.		37,541		0	.075	05/16/12		37,535
Federal National Mortgage Assoc.		31,380		0	.050	05/21/12		31,376
Federal National Mortgage Assoc.		19,741		0	.085	05/23/12		19,737
Federal National Mortgage Assoc.		7,627		0	.060	06/06/12		7,626
Federal National Mortgage Assoc.		124,750		0	.059	06/18/12		124,727


U.S. Government Money Market Fund		11

SSgA
U.S. Government Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal					Date
	Amount ($)		Rate			of	Value
	or Shares		% (#)			Maturity	$
Federal National Mortgage Assoc.		11,000		0	.150	06/25/12		10,995
Federal National Mortgage Assoc.		11,000		0	.120	07/11/12		10,995
Federal National Mortgage Assoc.		89,283		0	.085	07/18/12		89,254
Federal National Mortgage Assoc.		36,000		0	.125	07/18/12		35,983
Federal National Mortgage Assoc.		17,000		0	.130	07/25/12		16,991
Federal National Mortgage Assoc.		16,000		0	.150	07/25/12		15,990


Total Government Agency Debt (amortized cost $1,771,101)								1,771,101


Treasury Debt - 2.9%
U.S. Treasury Note		28,106		0	.061	04/30/12		28,150
U.S. Treasury Note		57,000		0	.157	08/15/12		58,102


Total Treasury Debt (amortized cost $86,252)								86,252


Total Investments - 62.7% (amortized cost $1,857,353)								1,857,353


Repurchase Agreements - 37.3%
Government Agency Repurchase Agreement - 27.9%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $250,000 dated February 28, 2012 at 0.130% to be repurchased at $250,006 on March 6, 2012, collateralized by: $251,166 par various United States Government Agency Obligations valued at $255,000								250,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $75,000 dated February 29, 2012 at 0.200% to be repurchased at $75,000 on March 1, 2012, collateralized by: $76,529 par various United States Government Agency Obligations valued at $76,500								75,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $125,000 dated February 29, 2012 at 0.180% to be repurchased at $125,001 on March 1, 2012, collateralized by: $122,782 par various United States Government Agency Obligations valued at $127,500								125,000
Agreement with Deutsche Bank AG and The Bank of New York Mellon Corp. (Tri-Party) of $125,000 dated February 29, 2012 at 0.180% to be repurchased at $125,001 on March 1, 2012, collateralized by: $127,002 par various United States Government Agency Obligations valued at $127,503								125,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $125,000 dated February 29, 2012 at 0.200% to be repurchased at $125,001 on March 1, 2012, collateralized by: $127,520 par various United States Government Agency Obligations valued at $127,502								125,000


12		U.S. Government Money Market Fund

SSgA
U.S. Government Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)

Amounts in thousands (except share amounts)

Principal

Date

Amount ($)

Rate

Value

or Shares

% (#)

Maturity

Agreement with UBS AG and The Bank of New York Mellon Corp. (Tri-Party) of $125,000 dated February 29, 2012 at 0.180% to be repurchased at $125,001 on March 1, 2012, collateralized by:
$125,084 par various United States Government Agency Obligations valued at $127,501

125,000

Total Government Agency Repurchase Agreement
(identified cost $825,000)

825,000

Treasury Repurchase Agreement - 9.4%

Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $29,000 dated February 29, 2012 at 0.190% to be repurchased at $29,000 on March 1, 2012, collateralized by:
$22,760 par various United States Treasury Obligations valued at $29,580

29,000

Agreement with Credit Suisse Securities, LLC and JPMorgan Chase & Co. (Tri-Party) of $125,000 dated February 28, 2012 at 0.150% to be repurchased at $125,001 on March 1, 2012, collateralized by:
$119,905 par various United States Treasury Obligations valued at $127,503

125,000

Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $125,000 dated February 29, 2012 at 0.170% to be repurchased at $125,001 on March 1, 2012, collateralized by:
$124,405 par various United States Treasury Obligations valued at $127,500

125,000

Total Treasury Repurchase Agreement
(identified cost $279,000)

279,000

Total Repurchase Agreements
(identified cost $1,104,000)

1,104,000

Total Investments and Repurchase Agreements - 100.0%*
(cost $2,961,353) (†)

2,961,353

Other Assets and Liabilities, Net - 0.0%

1,397

Net Assets - 100.0%

2,962,750

See accompanying notes which are an integral part of the financial statements.


U.S. Government Money Market Fund		13

SSgA
U.S. Government Money Market Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


	% of
	Net
Categories	Assets
Government Agency Debt		59.8
Treasury Debt		2.9
Repurchase Agreements		37.3

Total Investments		100.0
Other Assets and Liabilities, Net		—	^**

		100.0


**		Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.


14		U.S. Government Money Market Fund

SSgA
Tax Free Money Market Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administrative fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2011 to February 29, 2012.

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,000.00	$	1,024.42
Expenses Paid During Period*	$	0.45	$	0.45


*	Expenses are equal to the Fund’s annualized expense ratio of 0.09% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Tax Free Money Market Fund		15

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SSgA
Tax Free Money Market Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal							Date	Market
	Amount ($)		Rate			Next Reset		of	Value
	or Shares		% (#)			Date		Maturity	$

Variable Rate Demand Note - 81.4%

Arizona - 5.0%
Arizona Health Facilities Authority Revenue Bonds, Weekly demand (mu)(Ê)		1,865		0	.100		03/07/12	01/01/35		1,865


California - 10.8%
Bay Area Toll Authority Revenue Bonds, Weekly demand (mu)(Ê)		1,000		0	.100		03/07/12	04/01/45		1,000
Metropolitan Water District of Southern California Revenue Bonds, Weekly demand (Ê)		2,000		0	.110		03/07/12	07/01/23		2,000
Orange County Water District Certificate Of Participation, Weekly demand (mu)(Ê)		1,000		0	.130		03/07/12	08/01/42		1,000

										4,000


Colorado - 1.9%
Colorado Housing & Finance Authority Revenue Bonds, Weekly demand (Ê)		685		0	.140		03/07/12	05/01/34		685


Delaware - 5.2%
University of Delaware Revenue Bonds, Weekly demand (Ê)		1,935		0	.150		03/01/12	11/01/35		1,935


Indiana - 4.1%
City of Indianapolis Indiana Revenue Bonds, Weekly demand (Ê)		1,500		0	.150		03/07/12	05/15/38		1,500


Kansas - 4.7%
Kansas State Department of Transportation Revenue Bonds, Weekly demand (Ê)		1,750		0	.120		03/07/12	09/01/19		1,750


Maryland - 1.4%
County of Montgomery Maryland General Obligation Unlimited, Weekly demand (Ê)		500		0	.090		03/01/12	06/01/26		500


Massachusetts - 11.3%
Massachusetts Bay Transportation Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.130		03/07/12	07/01/21		2,000
Massachusetts Department of Transportation Revenue Bonds, Weekly demand (Ê)		1,000		0	.120		03/07/12	01/01/39		1,000
University of Massachusetts Building Authority Revenue Bonds, Weekly demand (Ê)		1,180		0	.180		03/07/12	05/01/38		1,180

										4,180


Missouri - 2.7%
Missouri Development Finance Board Revenue Bonds, Weekly demand (Ê)		1,000		0	.100		03/01/12	12/01/33		1,000


North Carolina - 6.8%
City of Charlotte North Carolina Certificate Of Participation, Weekly demand (Ê)		1,000		0	.200		03/07/12	06/01/33		1,000
State of North Carolina General Obligation Unlimited, Weekly demand (Ê)		1,500		0	.100		03/07/12	05/01/21		1,500

										2,500


Oregon - 3.2%
Oregon State Facilities Authority Revenue Bonds, Weekly demand (mu)(Ê)		1,170		0	.120		03/07/12	11/01/28		1,170


Tax Free Money Market Fund		17

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal							Date	Market
	Amount ($)		Rate			Next Reset		of	Value
	or Shares		% (#)			Date		Maturity	$

Rhode Island - 2.8%
Rhode Island Health & Educational Building Corp. Revenue Bonds, Weekly demand (mu)(Ê)		1,045		0	.120		03/07/12	06/01/35		1,045


South Carolina - 4.5%
City of North Charleston South Carolina Tax Allocation, Weekly demand (Ê)		1,660		0	.140		03/07/12	09/01/37		1,660


Texas - 2.7%
Tarrant County Cultural Education Facilities Finance Corp. Revenue Bonds, Weekly demand (mu)(Ê)		1,000		0	.140		03/07/12	08/15/46		1,000


Utah - 2.7%
County of Utah Revenue Bonds, Weekly demand (Ê)		1,000		0	.130		03/07/12	05/15/35		1,000


Washington - 6.2%
Tulalip Tribes of the Tulalip Reservation Revenue Bonds, Weekly demand (mu)(Ê)		2,000		0	.150		03/07/12	06/01/19		2,000
Washington State Housing Finance Commission Revenue Bonds, Weekly demand (mu)(Ê)		300		0	.210		03/07/12	02/01/44		300

										2,300


Wisconsin - 5.4%
Wisconsin Housing & Economic Development Authority Revenue Bonds, Weekly demand (Ê)		2,000		0	.120		03/07/12	09/01/33		2,000


Total Variable Rate Demand Note (cost $30,090)										30,090


Investment Company - 18.6%
AIM Tax Free Cash Reserve Money Market Fund		6,889,000								6,889


Total Investment Company (cost $6,889)										6,889


Total Investments - 100.0%* (cost $36,979)										36,979

Other Assets and Liabilities, Net - (0.0%)										(16	)


Net Assets - 100.0%										36,963

See accompanying notes which are an integral part of the financial statements.


18		Tax Free Money Market Fund

SSgA
Tax Free Money Market Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)




Quality Ratings as a % of Value

AAA	41	%
AA	36
A	4
NR	19

	100	%




Economic Sector Emphasis as a of % of Value

General Obligation	21	%
Transportation	17
Education Revenue	16
Health Care Revenue	15
Housing Revenue	14
Water and Sewer Revenue	9
Development Revenue	5
Other Revenue	3

	100	%


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


	% of
	Net
Categories	Assets
Arizona		5.0
California		10.8
Colorado		1.9
Delaware		5.2
Indiana		4.1
Kansas		4.7
Maryland		1.4
Massachusetts		11.3
Missouri		2.7
North Carolina		6.8
Oregon		3.2
Rhode Island		2.8
South Carolina		4.5
Texas		2.7
Utah		2.7
Washington		6.2
Wisconsin		5.4
Investment Company		18.6

Total Investments		100.0
Other Assets and Liabilities, Net		—	^**

		100.0


**		Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.


Tax Free Money Market Fund		19

SSgA
Money Market Funds

Notes to Schedules of Investments — February 29, 2012 (Unaudited)

Footnotes


(Ê)		Adjustable or floating rate security. Rate shown reflects rate in effect at period end.
(mu)		is insured by a guarantor.
(†)		The identified cost for Federal income tax purposes.
(λ)		Restricted security (144A) or 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
*		Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs. (Note 2)
#		For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.


20		Notes to Schedules of Investments

SSgA
Money Market Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


	Money		U.S. Government
Amounts in thousands	Market Fund		Money Market Fund			Tax Free Money Market Fund

Assets
Investments, at identified cost	$	3,828,807	$	1,857,353		$	36,979

Investments at amortized cost which approximates value		3,828,807		1,857,353			36,979
Repurchase agreements at cost which approximates value		1,325,199		1,104,000			—
Cash		260		962			—
Receivables:
Dividends and interest		1,124		222			6
Fund shares sold		3		418			—
From advisor		67		414			42
Prepaid expenses		134		68			14

Total assets		5,155,594		2,963,437			37,041


Liabilities
Payables:
Accrued fees to affiliates		1,630		652			50
Other accrued expenses		98		35			28
Income distribution		20		—			—

Total liabilities		1,748		687			78



Net Assets	$	5,153,846	$	2,962,750		$	36,963


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	60	$	—		$	—
Accumulated net realized gain (loss)		106		(24	)		(170	)
Shares of beneficial interest		5,154		2,963			37
Additional paid-in capital		5,148,526		2,959,811			37,096

Net Assets	$	5,153,846	$	2,962,750		$	36,963




Net Asset Value, offering and redemption price per share:
Net asset value per share: (a)	$	1.00	$	1.00		$	1.00
Net assets	$	5,153,846,010	$	2,962,749,539		$	36,962,754
Shares outstanding ($.001 par value)		5,153,683,749		2,962,831,545			36,946,085

(a)

Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		21

SSgA
Money Market Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


	Money			U.S. Government			Tax Free Money
Amounts in thousands	Market Fund			Money Market Fund			Market Fund

Investment Income
Dividends	$	—		$	—		$	4
Interest		7,586			1,425			25

Total investment income		7,586			1,425			29


Expenses
Advisory fees		6,924			4,754			80
Administrative fees		870			587			24
Custodian fees		412			261			15
Distribution fees		680			355			6
Transfer agent fees		44			27			17
Professional fees		64			40			16
Registration fees		14			16			9
Shareholder servicing fees		1,949			1,294			39
Trustees’ fees		114			61			7
Insurance fees		72			36			1
Printing fees		76			21			1
Rating fees		14			13			13
Miscellaneous		19			11			2

Expenses before reductions		11,252			7,476			230
Expense reductions		(3,805	)		(6,051	)		(201	)

Net expenses		7,447			1,425			29

Net investment income (loss)		139			—			—


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments		42			4			—

Net Increase (Decrease) in Net Assets from Operations	$	181		$	4		$	—

See accompanying notes which are an integral part of the financial statements.


22		Statements of Operations

SSgA
Money Market Funds

Statements of Changes in Net Assets — For the Periods Ended


	Money						U.S. Government					Tax Free Money
	Market Fund						Money Market Fund					Market Fund
	Period Ended						Period Ended					Period Ended
	February 29, 2012			Fiscal Year Ended			February 29, 2012			Fiscal Year Ended		February 29, 2012			Fiscal Year Ended
Amounts in thousands	(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011		(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	139		$	376		$	—		$	—	$	—		$	—
Net realized gain (loss)		42			64			4			—		—			—

Net increase (decrease) in net assets from operations		181			440			4			—		—			—


Distributions
From net investment income		(139	)		(376	)		—			—		—			—

Net decrease in net assets from distributions		(139	)		(376	)		—			—		—			—


Share Transactions
Net increase (decrease) in net assets from share transactions		(1,481,381	)		(384,542	)		(1,506,795	)		977,573		(35,010	)		(33,596	)


Total Net Increase (Decrease) in Net Assets		(1,481,339	)		(384,478	)		(1,506,791	)		977,573		(35,010	)		(33,596	)

Net Assets
Beginning of period		6,635,185			7,019,663			4,469,541			3,491,968		71,973			105,569


End of period	$	5,153,846		$	6,635,185		$	2,962,750		$	4,469,541	$	36,963		$	71,973


Undistributed (overdistributed) net investment income included in net assets	$	60		$	60		$	—		$	—	$	—		$	—

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		23

SSgA
Money Market Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$			$			$			$			$
	Net Asset Value,		Net			Net Realized			Total from			Distributions			Distributions
	Beginning of		Investment			and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)			Gain (Loss)			Operations			Investment Income			Realized Gain
Money Market Fund

February 29, 2012(1)		1.0000		—	(b)		—	(b)		—	(b)		—	(b)		—
August 31, 2011		1.0000		.0001			—	(b)		.0001			(.0001	)		—
August 31, 2010		1.0000		.0002			—	(b)		.0002			(.0002	)
August 31, 2009		1.0000		.0080			.0006			.0086			(.0084	)		(.0002	)
August 31, 2008		1.0000		.0339			.0004			.0343			(.0343	)		—
August 31, 2007		1.0000		.0497			—			.0497			(.0497	)		—

U.S. Government Money Market Fund

February 29, 2012 (1)		1.0000		—			—			—			—			—
August 31, 2011		1.0000		—			—			—			—			—
August 31, 2010		1.0000		—	(b)		—			—	(b)		—	(b)		—
August 31, 2009		1.0000		.0028			.0012			.0040			(.0040	)		—
August 31, 2008		1.0000		.0308			—			.0308			(.0308	)		—
August 31, 2007		1.0000		.0489			—			.0489			(.0489	)		—

Tax Free Money Market Fund

February 29, 2012 (1)		1.0000		—			—			—			—			—
August 31, 2011		1.0000		—			—			—			—			—
August 31, 2010		1.0000		—			—	(b)		—	(b)		—			—
August 31, 2009		1.0000		.0137			(.0036	)		.0101			(.0101	)		—
August 31, 2008		1.0000		.0250			(.0017	)		.0233			(.0233	)		—
August 31, 2007		1.0000		.0310			—	(b)		.0310			(.0310	)		—


(1)		For the six months ended February 29, 2012 (unaudited).
(a)		Average daily shares outstanding were used for this calculation.
(b)		Less than $.0001 per share.
(c)		May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005% per share.
(d)		Includes expenses related to the U.S. Treasury Guarantee Program.
(e)		Less than .005% of average net assets.

See accompanying notes which are an integral part of the financial statements.


24		Financial Highlights


									%			%		%
			$				$		Ratio of Expenses			Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%		Net Assets,		to Average			to Average		Investment Income
Total			End of		Total		End of Period		Net Assets,			Net Assets,		to Average
Distributions			Period		Return(b)(c)		(000)		Net(c)			Gross(e)		Net Assets(c)


	—	(b)		1.0000		—		5,153,846		.27			.41		.01
	(.0001	)		1.0000		.01		6,635,185		.31			.38		.01
	(.0002	)		1.0000		.02		7,019,663		.32			.39		.02
	(.0086	)		1.0000		.86		8,599,276		.41	(d)		.41		.80
	(.0343	)		1.0000		3.48		7,407,992		.39			.39		3.39
	(.0497	)		1.0000		5.08		7,774,602		.40			.42		4.97



	—			1.0000		—		2,962,750		.07			.39		—
	—			1.0000		—		4,469,541		.16			.39		—
	—	(b)		1.0000		—		3,491,968		.20			.37		—	(e)
	(.0040	)		1.0000		.40		4,308,697		.35			.38		.28
	(.0308	)		1.0000		3.12		2,148,495		.37			.37		3.04
	(.0489	)		1.0000		5.00		1,607,878		.42			.42		4.89



	—			1.0000		—		36,963		.09			.72		—
	—			1.0000		—		71,973		.20			.69		—
	—			1.0000		—		105,569		.24			.59		—
	(.0101	)		1.0000		1.01		96,563		.53	(d)		.55		1.36
	(.0233	)		1.0000		2.35		342,319		.46			.46		2.49
	(.0310	)		1.0000		3.14		463,266		.52			.53		3.09

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		25

SSgA
Money Market Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on three funds: the SSgA Money Market Fund, SSgA U.S. Government Money Market Fund and SSgA Tax Free Money Market Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value.


2.		Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes the constant accretion/ amortization to maturity date or next reset date of any discount or premium. While amortized cost provides certainty in valuation, it may result in periods when the value of an instrument is higher or lower than a price the Fund would receive if it sold the instrument.


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.


26		Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

When fair valuation methods are applied that use significant unobservable inputs to determine a Fund’s NAV, securities will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons action at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. Fair value pricing may require subjective determinations about the value of a security. While the securities’ valuation procedures are intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the process cannot guarantee that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.

Securities Transactions

Investment Income

Interest income is recorded daily on an accrual basis. Distributions received on securities that represent a return on capital or capital gains are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes


Notes to Financial Statements		27

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

At February 29, 2012, the following Funds had net tax basis capital loss carryovers, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first, as follows:


	Expiration Year
	8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2016		8/31/2017		8/31/2018		8/31/2019		Total
Money Market Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
U.S. Government Money Market Fund		16,922		8,920		2,635		—		—		—		—		—		28,477
Tax Free Money Market Fund		—		—		13,781		41,331		—		115,383		—		—		170,495

Dividends and Distributions to Shareholders

Expenses

Repurchase Agreements

Guarantees


28		Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


3.		Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Advisor, calculated daily and paid monthly at the annual rate of 0.25% of their daily net assets.

The Advisor has contractually agreed to waive up to the full amount of the Money Market Fund’s advisory fee and reimburse the Fund for all expenses in excess of 0.40% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the waiver for the period ended February 29, 2012 was $174,742. There were no reimbursements for the period ended February 29, 2012.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Advisor may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 29, 2012, the Advisor voluntarily waived $3,630,501, $4,754,051 and $79,457 on the Money Market Fund, U.S. Government Money Market Fund and Tax Free Money Market Fund, respectively. Reimbursements totaled $1,296,562 and $121,549 for the U.S. Government Money Market Fund and Tax Free Money Market Fund, respectively. There is no guarantee that a Fund will be able to avoid a negative yield.

In addition, the Funds have entered into arrangements with State Street whereby custody credits realized as a result of uninvested cash balances were used to reduce a portion of the Funds’ expenses. The custody credits are included in the expense reductions in the Statement of Operations. For the period ended February 29, 2012, the Funds’ custodian fees were not reduced under these arrangements.

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly-owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of all five of the Investment Company’s money market portfolios: $0 up to $15 billion — 0.0315%; over $15 billion — 0.029%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. The Funds also reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Investment Company has adopted a distribution agreement dated March 1, 2002, as amended, between the Investment Company and State Street Global Markets, LLC (the “Distributor”), which is a wholly-owned subsidiary of State Street Corporation, to promote and offer shares of the Investment Company. The Distributor may enter into agreements with other related and non-related parties. The amounts paid to the Distributor are included in the accompanying Statements of Operations.


Notes to Financial Statements		29

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The Investment Company has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Investment Company is authorized to make payments to the Distributor, or any shareholder servicing agent as defined in the Plan, for providing distribution and marketing services, for furnishing assistance to investors on an ongoing basis, and for the reimbursement of direct out-of-pocket expenses charged by the Distributor in connection with the distribution and marketing of shares of the Investment Company and the servicing of investor accounts.

Each Fund has shareholder service agreements with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”), High Net Worth Services Division of State Street (“High Net Worth Services”) and Wealth Management Systems (collectively, the “Agents”), as well as several unaffiliated service providers. For these services, each Fund pays 0.025% to State Street, and a maximum of 0.175% to each of the Agents, based on the average daily value of all Fund shares held by or for customers of these Agents. For the period ended February 29, 2012, each Fund paid the following shareholder servicing expenses to the Agents:


					Fiduciary		High Net		Wealth
					Investors		Worth		Management
	State Street		Global Markets		Services		Services		Systems
Money Market Fund	$	641,822	$	567,165	$	556	$	177,046	$	172,845
U.S. Government Money Market Fund		473,655		115,960		—		642,615		61,606
Tax Free Money Market Fund		7,833		2,451		—		10,671		18,411

The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of a Fund on an annual basis. The shareholder servicing payments shall not exceed 0.20% of the average daily value of net assets of a Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Funds’ responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Funds’ shareholders have the right, however, to terminate the Plan and all payments there under at any time. The Funds will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuation.

Board of Trustees

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


			U.S. Government
	Money		Money		Tax Free Money
	Market Fund		Market Fund		Market Fund
Advisory fees	$	715,443	$	236,193	$	22,973
Administration fees		130,289		85,541		3,570
Custodian Fees		104,808		35,669		3,261
Distribution fees		—		15,643		—
Shareholder servicing fees		600,208		242,349		11,958
Transfer agent fees		15,028		5,374		5,095
Trustee fees		63,750		30,831		3,042

	$	1,629,526	$	651,600	$	49,899


30		Notes to Financial Statements

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


4.		Fund Share Transactions (On a Constant Dollar Basis)


	(amounts in thousands)
	For the Periods Ended
	February 29, 2012			August 31, 2011
	On a Constant Dollar Basis			On a Constant Dollar Basis
Money Market Fund
Proceeds from shares sold	$	23,637,784		$	64,904,841
Proceeds from reinvestment of distributions		70			279
Payments for shares redeemed		(25,119,235	)		(65,289,662	)

Total net increase (decrease)	$	(1,481,381	)	$	(384,542	)

U.S. Government Money Market Fund
Proceeds from shares sold	$	20,626,512		$	34,852,512
Proceeds from reinvestment of distributions		—			6
Payments for shares redeemed		(22,133,307	)		(33,874,945	)

Total net increase (decrease)	$	(1,506,795	)	$	977,573

Tax Free Money Market Fund
Proceeds from shares sold	$	211,019		$	674,934
Proceeds from reinvestment of distributions		—			—
Payments for shares redeemed		(246,029	)		(708,530	)

Total net increase (decrease)	$	(35,010	)	$	(33,596	)


5.		Interfund Lending Program

The Funds participate in a joint lending and borrowing facility. Portfolios of the funds may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in additional borrowing costs. Interest Income on the Statement of Operations for the Money Market Fund includes $516 received from the Interfund Lending Program for the period ended February 29, 2012.


6.		Restricted Securities

For the period ended February 29, 2012, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.


Notes to Financial Statements		31

SSgA
Money Market Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


7.		Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.


8.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review, the following items were noted to require disclosure within the financial statements.

The Board has approved a Plan of Liquidation and Termination (the “Plan”) with respect to the SSgA Tax Free Money Market Fund, pursuant to which the Fund is expected to be liquidated and terminated on or prior to May 15, 2012 (the “Liquidation Date”). During the period between the effective date of the Plan and the Liquidation Date, the Fund will engage in business and activities solely for the purposes of winding up its business and affairs and making a distribution of its assets to shareholders, and may not pursue or achieve its investment objective.

The Fund ceased the sale of its shares to new investors at the close of business on February 3, 2012; however, shares of the Fund may continue to be offered through intermediaries that currently have relationships with the Funds and to current shareholders having accounts directly with the Funds. Effective upon the close of business on April 30, 2012, the Fund will no longer accept orders from existing shareholders to purchase additional shares. Current shareholders of the Fund may, consistent with the requirements set forth in the Prospectus, redeem or exchange their shares into shares of the same class of other SSgA Funds at any time prior to the Liquidation Date.

Prior to the Liquidation Date, the Fund will discontinue payments of any 12b-1 distribution fees.

At or immediately prior to the Liquidation Date, the Fund shall, if necessary, have declared and paid a dividend or dividends which, together with all previous such dividends, shall have the effect of distributing to the shareholders of the Fund all of the Fund’s investment company taxable income for taxable years ending at or prior to the Liquidation Date (computed without regard to any deduction for dividends paid) and all of its net capital gain, if any, realized in taxable years ending at or prior to the Liquidation Date (after reduction for any capital loss carry-forward) and any additional amounts necessary to avoid any excise tax for such periods.


32		Notes to Financial Statements

SSgA
Money Market Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)

The Funds will file their complete schedules of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


Shareholder Requests for Additional Information		33

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Position(s) Held

Portfolios

Other

Name,

with SSgA Funds;

Term

Principal Occupation(s)

in Fund Complex

Directorships Held

Age,

Length of

During Past 5 Years; and

Overseen

by Trustee

Address

Time Served

Office

Other Relevant Experience, Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial
Center
One Lincoln
Street Boston, MA
02111-2900

Trustee since
November 2008

Until successor
is elected by
Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing
Director, Chairman, SSgA Investment
Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia
Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman,
Financial Service Sector Coordinating
Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Member, Board of
Trustees (Chairman of
the Board from 1988 to
December 2008)

Member, Audit
Committee,

Chairman, Governance
Committee

Member, Valuation
Committee

Member, Qualified
Legal and Compliance
Committee

Until successor
is elected by
Trustees

• Until December 2005, Vice Chairman,
Frank Russell Company (institutional
financial consultant)(Retired);

• March 2007 to September 2010,
member, IDC Board of Governors;

• September 2007 to September 2010,
member Investment Company Institute Board
of Governors;

• September 2008 to September 2010,
member Investment Company Institute and IDC
Investment Committee; and

• Until December 2008, Director,
Russell Trust Company (Retired).

None


34		Disclosure of Information about Fund Trustees and Officers

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEE (continued)

William L. Marshall
Born December 12, 1942

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit
Committee

Member, Governance
Committee

Member, Valuation
Committee

Member, Qualified Legal
and Compliance
Committee

Until successor
is elected by
Trustees

• Chief Executive Officer and
President, Wm. L. Marshall Associates,
Inc., Wm. L. Marshall Companies, Inc. and
the Marshall Financial Group, Inc. (a
registered investment advisor and provider
of financial and related consulting
services);

• Certified Financial Planner and
Member, Financial Planners Association; and

• Registered Representative and
Principal for Securities with Cambridge
Investment Research, Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Independent Chairman
of the Board since
January 2009

Member (ex-officio),
Audit Committee

Member (ex-officio),
Governance Committee

Member (ex-officio),
Valuation Committee

Member (ex-officio),
Qualified Legal and
Compliance Committee

Until successor
is elected by
Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth
of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, State Street Global Advisors
Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law
firm);

• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly,
SSgA Cash Management Fund plc);

• January 2009 to Present, Independent Director, SSgA Fixed Income plc;
and

• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.

None


Disclosure of Information about Fund Trustees and Officers		35

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEE (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit
Committee

Member, Governance
Committee

Member, Valuation
Committee

Chairman, Qualified
Legal and Compliance
Committee

Until successor
is elected by
Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and
Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross
Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to
Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup
Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee
Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None

Bruce D. Taber
Born April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit
Committee

Member, Governance
Committee

Chairman, Valuation
Committee

Member, Qualified Legal
and Compliance
Committee

Until successor
is elected by
Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing
Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund
plc;

• Until December 2008, Independent Director, State Street Global Advisors
Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston
architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


36		Disclosure of Information about Fund Trustees and Officers

SSgA
Money Market Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18^th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


Disclosure of Information about Fund Trustees and Officers		37

SSgA
Money Market Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Offices and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


38		Fund Management and Service Providers

MMSAR-02/12

S&P 500 INDEX FUND

Semiannual Report
February 29, 2012

SSgA Funds

S&P 500 Index Fund

Semiannual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

S&P 500 Index Fund		3
Statements of Assets and Liabilities		6
Statements of Operations		7
Statements of Changes in Net Assets		8
Financial Highlights		10
Notes to Financial Statements		12
Shareholder Requests for Additional Information		18
Disclosure of Information about Fund Trustees and Officers		19
Fund Management and Service Providers		23

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This page has been intentionally left blank.

SSgA
S&P 500 Index Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,132.34	$	1,023.97
Expenses Paid During Period*	$	0.95	$	0.91


*	Expenses are equal to the Fund’s annualized expense ratio of 0.18% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


S&P 500 Index Fund		3

This page has been intentionally left blank.

SSgA
S&P 500 Index Fund


Presentation of Master Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
	% of
	Master
	Portfolio
	Net
Categories	Assets
Consumer Discretionary		11.2
Consumer Staples		10.5
Energy		11.9
Financials		14.8
Health Care		10.9
Industrials		10.8
Information Technology		18.6
Materials		3.7
Telecommunication Services		2.7
Utilities		3.4
U.S. Government Securities		0.1
Money Market Funds		1.3

Total Investments		99.9
Other Assets and Liabilities, Net		0.1

		100.0

Futures Contracts		—	*


*		Less than .05% of net assets.

See accompanying notes which are an integral part of the financial statements.


S&P 500 Index Fund		5

SSgA
S&P 500 Index Fund

Statement of Assets and Liabilities — February 29, 2012 (Unaudited)


Amounts in thousands		S&P 500 Index Fund

Assets
Investments in Master Portfolio, at value		$	1,142,826
Receivables:
Fund shares sold			887
Prepaid expenses			15

Total assets			1,143,728


Liabilities
Payables:
Fund shares redeemed			5,861
Accrued fees to affiliates			246
Other accrued expenses	��		46

Total liabilities			6,153



Net Assets		$	1,137,575


Net Assets Consist of:
Undistributed (overdistributed) net investment income		$	5,810
Accumulated net realized gain (loss) allocated from Master Portfolio			(133,138	)
Unrealized appreciation (depreciation) allocated from Master Portfolio:
Portfolio on:
Investments			585,585
Futures contracts			2,156
Shares of beneficial interest			51
Additional paid-in capital			677,111

Net Assets		$	1,137,575




Net Asset Value, offering and redemption price per share:
Net asset value per share: (a)		$	22.52
Net assets		$	1,137,575,007
Shares outstanding ($.001 par value)			50,511,657


(a)		Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.


6		Statement of Assets and Liabilities

SSgA
S&P 500 Index Fund

Statement of Operations — For the Period Ended February 29, 2012 (Unaudited)


Amounts in thousands	S&P 500 Index Fund

Investment Income Allocated From Master Portfolio
Dividends	$	12,532
Interest		9
Expenses		(272	)

Total investment income allocated from Master Portfolio		12,269


Expenses
Administrative fees		173
Custodian fees		9
Distribution fees		274
Transfer agent fees		103
Professional fees		22
Registration fees		27
Shareholder servicing fees		194
Trustees’ fees		25
Insurance fees		12
Printing fees		31
Miscellaneous		6

Expenses before reductions		876
Expense reductions		(122	)

Net Fund Level expenses		754

Net investment income (loss)		11,515


Net Realized and Unrealized Gain (Loss) Allocated from Master Portfolio
Net realized gain (loss) on:
Investments		31,935
Futures contracts		1,120

Net realized gain (loss)		33,055

Net change in unrealized appreciation (depreciation) on:
Investments		96,078
Futures contracts		2,070

Net change in unrealized appreciation (depreciation)		98,148


Net realized and unrealized gain (loss)		131,203

Net Increase (Decrease) in Net Assets from Operations	$	142,718

See accompanying notes which are an integral part of the financial statements.


Statement of Operations		7

SSgA
S&P 500 Index Fund

Statements of Changes in Net Assets — For the Periods Ended


	S&P 500 Index Fund
	Period Ended			Fiscal Year
	February 29, 2012			Ended
Amounts in thousands	(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	11,515		$	23,603
Net realized gain (loss)		33,055			30,906
Net change in unrealized appreciation (depreciation)		98,148			184,640

Net increase (decrease) in net assets from operations		142,718			239,149


Distributions
From net investment income		(11,085	)		(24,425	)

Net decrease in net assets from distributions		(11,085	)		(24,425	)


Share Transactions
Net increase (decrease) in net assets from share transactions		(120,543	)		(334,379	)


Total Net Increase (Decrease) in Net Assets		11,090			(119,655	)

Net Assets
Beginning of period		1,126,485			1,246,140


End of period	$	1,137,575		$	1,126,485


Undistributed (overdistributed) net investment income included in net assets	$	5,810		$	5,380

See accompanying notes which are an integral part of the financial statements.


8		Statements of Changes in Net Assets

This page has been intentionally left blank.

SSgA
S&P 500 Index Fund

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$		$			$			$
	Net Asset Value,		Net		Net Realized			Total from			Distributions
	Beginning of		Investment		and Unrealized			Investment			from Net
	Period		Income (Loss)(a)		Gain (Loss)			Operations			Investment Income
S&P 500 Index Fund

February 29, 2012*		20.09		.21		2.42			2.63			(.20	)
August 31, 2011		17.31		.38		2.78			3.16			(.38	)
August 31, 2010		16.83		.33		.48			.81			(.33	)
August 31, 2009		21.17		.37		(4.30	)		(3.93	)		(.41	)
August 31, 2008		24.33		.45		(3.17	)		(2.72	)		(.44	)
August 31, 2007		21.53		.43		2.79			3.22			(.42	)


*		For the six months ended February 29, 2012 (Unaudited)
(a)		Average daily shares outstanding were used for this calculation.
(b)		Expense ratios include the Fund’s share of the Master Portfolio’s allocated expenses.
(c)		May reflect amounts waived and/or reimbursed by the investment advisor and for certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005% per share.
(d)		Unaudited.
(e)		Periods less than one year are not annualized.
(f)		The ratios for periods less than one year are annualized.

See accompanying notes which are an integral part of the financial statements.


10		Financial Highlights


										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return(e)			(000)		Net(b)(c)(f)		Gross(b)(f)		Net Assets(c)(f)		Turnover Rate(d)(e)


	(.20	)		22.52		13.23			1,137,575		.18		.20		2.06		14
	(.38	)		20.09		18.26			1,126,485		.18		.19		1.82		2
	(.33	)		17.31		4.77			1,246,140		.18		.19		1.84		13
	(.41	)		16.83		(18.29	)		1,375,449		.18		.20		2.45		8
	(.44	)		21.17		(11.34	)		1,530,849		.18		.18		1.89		13
	(.42	)		24.33		15.07			2,049,906		.16		.16		1.80		12

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		11

SSgA
S&P 500 Index Fund

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. This financial statement reports on the SSgA S&P 500 Index Fund (the “Fund”). The Investment Company is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at $.001 par value.

The Fund invests all of its investable assets in interests in the State Street Equity 500 Index Portfolio (the “Master Portfolio”). The Fund has the same investment objective as the Master Portfolio in which it invests. The value of the Fund’s investment in the Master Portfolio reflects the Fund’s proportionate interest in the net assets of the Master Portfolio (approximately 60.63% at February 29, 2012). The performance of the Fund is directly affected by the performance of the Master Portfolio. The financial statements of the Master Portfolio, including the Portfolio of Investments, are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.


2.		Significant Accounting Policies

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.

Security Valuation

The Fund records its investments in the Master Portfolio at fair value. Valuation of securities held by the Master Portfolio is discussed in Note 2 of the Master Portfolio’s Notes to Financial Statements, which are included elsewhere in this report.


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:


12		Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

The level associated with valuing the Fund’s investments for the period ended February 29, 2012, was Level 1 for the Fund.


Notes to Financial Statements		13

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Federal Income Taxes

Since the Investment Company is a Massachusetts business trust, the Fund is a separate corporate taxpayer and determines its net investment income and capital gains (or losses) and the amounts to be distributed to the Fund’s shareholders without regard to the income and capital gains (or losses) of the other funds of the Investment Company.

It is the Fund’s intention to qualify as a regulated investment company, as defined by the Internal Revenue Code of 1986, as amended. This requires the Fund to distribute all of its taxable income. Therefore, the Fund paid no federal income taxes and the Fund paid no federal income taxes and no federal income tax provision was required.

The Fund files a U.S. tax return. At February 29, 2012, the Fund had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions it had taken or expects to take in future tax returns. While the statue of limitations remains open to examine the Fund’s U.S. tax returns filed for the fiscal years ended August 31, 2008 through August 31, 2010, no examinations are in progress or anticipated at this time. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Capital Loss Carryovers

At February 29, 2012, the Fund had the following net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, which ever occurs first:


	Expiration Year
	8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2016		8/31/2017		8/31/2018		8/31/2019		Total
S&P 500 Index Fund	$	20,170,151	$	9,160,101	$	10,082,013	$	—	$	—	$	—	$	4,992,180	$	9,828,980	$	54,233,425

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. The Fund declares and pays dividends quarterly. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Fund to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in futures, options, losses deferred due to wash sales and straddles, and capital loss carry forwards. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Expenses allocated from the Master Portfolio are recorded and identified separately in the Statement of Operations. The Fund also pays certain other expenses which can be directly attributed to the Fund. Expenses of the Investment Company which cannot be directly attributed will be allocated among all funds of the Investment Company based principally on their relative net assets.

Guarantees

In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund expects the risk of loss to be remote.


14		Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


3.		Investment Transactions

Securities

Net daily increases and decreases in the Fund’s investment in the Master Portfolio aggregated to the following, for the period ended February 29, 2012:


	Increases		Decreases
S&P 500 Index Fund	$	60,285,711	$189,230,827


4.		Related Party Transactions, Fees and Expenses

Advisor and Affiliates

The Fund is allocated a charge for a management fee from the Master Portfolio, calculated daily at an annual rate of 0.045% of average daily net assets. This fee relates to the advisory, custody and administrative fees provided by the Master Portfolio on behalf of its investors. SSgA Funds Management, Inc. (the “Advisor”) manages the Fund pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arms of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Fund in accordance with their investment objectives, policies, and limitations.

The Advisor has agreed to waive up to the full amount of the Fund’s advisory fee and reimburse the Fund for all fund and allocated Master Portfolio expenses that exceed 0.18% of its average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of the reimbursement for the period ended February 29, 2012 was $122,462.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Investment Company also has a contract with State Street Bank and Trust Company (“State Street”) to provide custody and fund accounting services to the Fund. For these services, the Fund pays State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc., and of State Street Corporation, serves as transfer, dividend paying, and shareholder servicing agent to the Fund. For these services, the Fund pays annual account services fees, activity based fees, charges related to compliance and regulatory services and a minimum fee of $200.

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly-owned subsidiary of Russell Investment Management Company (“RIMCo”). The Fund pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Fund: $0 to $1 billion — 0.0315%; over $1 billion — 0.01%. In addition, the Administrator charges a flat fee of $30,000 per year per fund on each fund of the Investment Company with less than $500 million in assets under management. In addition, the Fund reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing


Notes to Financial Statements		15

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

The Investment Company has adopted a shareholder service agreement with State Street and the following entities related to State Street: State Street Global Markets LLC (“Global Markets”), Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, the Fund pays 0.025% to State Street, and a fee to each of the Agents, based upon the average daily value of all Fund shares held by or for customers of these Agents subject to the maximum of 0.05%.

For the period ended February 29, 2012, the Fund paid the following shareholder servicing expenses to the Agents:


	State Street
S&P 500 Index Fund	$	24,663

The Fund did not make any payments to Global Markets, Fiduciary Investors Services or High Net Worth Services during the period.

Total shareholder servicing payments shall not exceed 0.20% of the average daily net assets of the Fund on an annual basis. The combined distribution and shareholder servicing payments shall not exceed 0.25% of the average daily value of net assets of the Fund on an annual basis. Costs that exceed the maximum amount of allowable reimbursement may be carried forward for two years following the year in which the expenditure was incurred so long as the Plan is in effect. The Fund’s responsibility for any such expenses carried forward shall terminate at the end of two years following the year in which the expenditure was incurred. The Board or a majority of the Fund’s shareholders have the right, however, to terminate the Plan and all payments thereunder at any time. The Fund will not be obligated to reimburse the Distributor for carryover expenses subsequent to the Plan’s termination or discontinuation.

Board of Trustees

The Investment Company paid each trustee not affiliated with the Investment Company an annual retainer, plus specified amounts for Board and committee meetings attended. These expenses are allocated among all of the funds of the Investment Company, except for the Life Solutions Funds, based upon their relative net assets.

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


	S&P 500 Index Fund
Advisory fees	$	8,455
Administration fees		29,489
Custodian Fees		992
Distribution fees		52,796
Shareholder servicing fees		104,539
Transfer agent fees		35,935
Trustee fees		13,834

	$	246,040


16		Notes to Financial Statements

SSgA
S&P 500 Index Fund

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


5.		Fund Share Transactions


	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
S&P 500 Index Fund	February 29, 2012						August 31, 2011

Proceeds from shares sold		6,943		$	139,348			10,871		$	224,007
Proceeds from reinvestment of distributions		529			10,488			1,144			22,934
Payments for shares redeemed		(13,046	)		(270,379	)		(27,905	)		(581,320	)

Total net increase (decrease)		(5,574	)	$	(120,543	)		(15,890	)	$	(334,379	)


6.		Interfund Lending Program

The Fund participates in a joint lending and borrowing facility (the “Credit Facility”). Portfolios of the Fund may borrow money from the SSgA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSgA Money Market Fund will lend through the program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Fund will borrow through the program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in a lost borrowing opportunity or additional borrowing costs. For the period ended February 29, 2012, the Fund did not utilize the Interfund Lending Program.


7.		Dividends

On March 1, 2012, the Funds declared the following dividends from net investment income payable on March 7, 2012 to shareholders of record March 2, 2012.


	Net Investment
	Income
S&P 500 Index Fund	$	0.1115


8.		Market, Credit and Counterparty Risk

In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities.


9.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review nothing was discovered which would require disclosure within the financial statements.


Notes to Financial Statements		17

SSgA
S&P 500 Index Fund

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)

The Fund has adopted the proxy voting policies of the Advisor. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Fund’s website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Fund will file its complete schedule of investments with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments are available in the Fund’s semi-annual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at (800) 647-7327, (ii) on the Fund’s website at www.ssgafunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


18		Shareholder Requests for Additional Information

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial Center
One Lincoln Street
Boston, MA 02111-2900

Trustee since November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired);

• March 2007 to September 2010, member, IDC Board of Governors;

• September 2007 to September 2010, member Investment Company Institute Board of Governors;

• September 2008 to September 2010, member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell Trust Company (Retired).

None


Disclosure of Information about Fund Trustees and Officers		19

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall
Born December 12, 1942

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• Certified Financial Planner and Member, Financial Planners Association; and

• Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;

• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);

• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc);

• January 2009 to Present, Independent Director, SSgA Fixed Income plc; and

• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.

None


20		Disclosure of Information about Fund Trustees and Officers

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Portfolios

Position(s) Held

Principal Occupation(s)

in Fund

Other

Name,

with SSgA Funds;

Term

During Past 5 Years; and

Complex

Directorships Held

Age,

Length of

Other Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills (1)

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Chairman, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None

Bruce D. Taber
Born April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit Committee

Member, Governance Committee

Chairman, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund plc;

• Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


Disclosure of Information about Fund Trustees and Officers		21

SSgA
S&P 500 Index Fund

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18^th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


22		Disclosure of Information about Fund Trustees and Officers

SSgA
S&P 500 Index Fund

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Henry W. Todd Officers James E. Ross, President, Chief Executive Officer and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Julie B. Piatelli, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers		23

FIAR-02/12

State Street Equity 500 Index Portfolio

Portfolio of Investments
February 29, 2012 (Unaudited)


			Market
			Value
	Shares		(000)


COMMON STOCKS — 98.5%
Consumer Discretionary — 11.2%
Abercrombie & Fitch Co. Class A		13,046	$	597
Amazon.com, Inc. (a)		54,292		9,756
Apollo Group, Inc. Class A (a)		18,029		769
AutoNation, Inc. (a)		6,363		217
AutoZone, Inc. (a)		4,064		1,522
Bed Bath & Beyond, Inc. (a)		36,245		2,165
Best Buy Co., Inc.		42,119		1,040
Big Lots, Inc. (a)		9,227		405
BorgWarner, Inc. (a)		17,100		1,417
Cablevision Systems Corp.		35,600		507
CarMax, Inc. (a)		34,000		1,043
Carnival Corp.		66,350		2,010
CBS Corp. Class B		99,303		2,969
Chipotle Mexican Grill, Inc. (a)		4,700		1,834
Coach, Inc.		44,228		3,310
Comcast Corp. Class A		407,148		11,962
D.R. Horton, Inc.		40,376		579
Darden Restaurants, Inc.		20,488		1,045
DeVry, Inc.		10,400		369
Direct TV. Class A (a)		104,777		4,853
Discovery Communications, Inc. Class A (a)		39,700		1,852
Dollar Tree, Inc. (a)		18,600		1,646
eBay, Inc. (a)		171,103		6,115
Expedia, Inc.		14,357		489
Family Dollar Stores, Inc.		18,858		1,018
Ford Motor Co.		566,198		7,009
GameStop Corp. Class A		19,500		444
Gannett Co., Inc.		33,574		498
Gap, Inc.		53,498		1,250
Genuine Parts Co.		23,809		1,492
Goodyear Tire & Rubber Co. (a)		34,957		450
H&R Block, Inc.		47,115		768
Harley-Davidson, Inc.		35,801		1,668
Harman International Industries, Inc.		9,721		478
Hasbro, Inc.		17,825		630
Home Depot, Inc.		230,212		10,951
Host Hotels & Resorts, Inc.		101,621		1,604
International Game Technology		47,919		720
Interpublic Group of Cos., Inc.		71,894		843
JC Penney Co., Inc.		21,810		864
Johnson Controls, Inc.		100,686		3,285
Kohl’s Corp.		36,633		1,820
Lennar Corp. Class A		25,931		606
Limited Brands, Inc.		35,867		1,669
Lowe’s Cos., Inc.		186,162		5,283
Macy’s, Inc.		63,423		2,408
Marriott International, Inc. Class A		40,450		1,427
Mattel, Inc.		50,676		1,644
McDonald’s Corp.		153,025		15,192
McGraw-Hill Cos., Inc.		40,666		1,893
NetFlix, Inc. (a)		8,000		886
Newell Rubbermaid, Inc.		42,693		781
News Corp. Class A		326,609		6,490
NIKE, Inc. Class B		55,252		5,963
Nordstrom, Inc.		24,133		1,294
O’Reilly Automotive, Inc. (a)		19,400		1,678
Omnicom Group, Inc.		41,641		2,059
Priceline.com, Inc. (a)		7,390		4,634
PulteGroup, Inc. (a)		54,705		482
Ralph Lauren Corp.		9,815		1,705
Ross Stores, Inc.		34,500		1,840
Scripps Networks Interactive, Inc. Class A		13,135		594
Sears Holdings Corp. (a)		5,374		374
Snap-on, Inc.		9,212		563
Stanley Black & Decker, Inc.		26,207		2,013
Staples, Inc.		101,833		1,493
Starbucks Corp.		110,261		5,354
Starwood Hotels & Resorts Worldwide, Inc.		30,047		1,619
Target Corp.		99,916		5,664
Tiffany & Co.		19,880		1,292
Time Warner Cable, Inc.		48,571		3,854
Time Warner, Inc.		148,891		5,540
TJX Cos., Inc.		111,812		4,093
TripAdvisor, Inc. (a)		14,357		463
Urban Outfitters, Inc. (a)		18,300		520
V.F. Corp.		12,793		1,868
Viacom, Inc. Class B		84,222		4,011
Walt Disney Co.		268,345		11,268
Washington Post Co. Class B		660		260
Whirlpool Corp.		11,361		859
Wyndham Worldwide Corp.		22,699		998
Wynn Resorts, Ltd.		11,500		1,363
Yum! Brands, Inc.		69,792		4,623

				210,883

Consumer Staples — 10.5%
Altria Group, Inc.		306,899		9,238
Archer-Daniels-Midland Co.		98,724		3,080
Avon Products, Inc.		61,060		1,141
Beam, Inc.		23,345		1,286
Brown-Forman Corp. Class B		15,655		1,278
Campbell Soup Co.		26,665		888
Clorox Co.		20,543		1,389
Coca-Cola Co.		340,011		23,753
Coca-Cola Enterprises, Inc.		46,401		1,341
Colgate-Palmolive Co.		72,101		6,718
ConAgra Foods, Inc.		59,575		1,564
Constellation Brands, Inc. Class A (a)		29,326		640
Costco Wholesale Corp.		64,489		5,550
CVS Caremark Corp.		194,232		8,760
Dean Foods Co. (a)		23,558		289
Dr Pepper Snapple Group, Inc.		32,000		1,218
Estee Lauder Cos., Inc. Class A		33,704		1,973
General Mills, Inc.		95,264		3,650
H.J. Heinz Co.		48,169		2,539
Hormel Foods Corp.		21,200		604
Kellogg Co.		37,035		1,939
Kimberly-Clark Corp.		58,500		4,263
Kraft Foods, Inc. Class A		263,809		10,043
Kroger Co.		90,276		2,148
Lorillard, Inc.		20,461		2,682
McCormick & Co., Inc.		20,753		1,047
Molson Coors Brewing Co. Class B		25,162		1,106
PepsiCo, Inc.		233,754		14,712
Philip Morris International, Inc.		259,999		21,715
Procter & Gamble Co.		412,019		27,819
Reynolds American, Inc.		49,574		2,079
Safeway, Inc.		54,164		1,162
Sara Lee Corp.		86,334		1,748
SuperValu, Inc.		34,848		228
Sysco Corp.		89,509		2,633
The Hershey Co.		21,782		1,322
The J.M. Smucker Co.		16,460		1,240
Tyson Foods, Inc. Class A		44,235		836
Wal-Mart Stores, Inc.		261,202		15,432
Walgreen Co.		132,018		4,378
Whole Foods Market, Inc.		23,433		1,892

				197,323

Energy — 11.9%
Alpha Natural Resources, Inc. (a)		35,600		661
Anadarko Petroleum Corp.		74,126		6,235
Apache Corp.		57,225		6,176
Baker Hughes, Inc.		64,573		3,247
Cabot Oil & Gas Corp.		32,600		1,137
Cameron International Corp. (a)		36,000		2,006
Chesapeake Energy Corp.		97,082		2,427
Chevron Corp. (b)		298,346		32,556


1

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)


			Market
			Value
	Shares		(000)

COMMON STOCKS — (continued)
Energy — (continued)
ConocoPhillips		198,530	$	15,197
Consol Energy, Inc.		34,973		1,253
Denbury Resources, Inc. (a)		61,500		1,224
Devon Energy Corp.		59,551		4,366
Diamond Offshore Drilling, Inc.		10,200		698
El Paso Corp.		117,292		3,262
EOG Resources, Inc.		39,917		4,545
EQT Corp.		23,300		1,235
ExxonMobil Corp. (b)		716,847		62,007
FMC Technologies, Inc. (a)		36,600		1,846
Halliburton Co.		139,634		5,109
Helmerich & Payne, Inc.		16,300		999
Hess Corp.		45,201		2,934
Marathon Oil Corp.		107,077		3,629
Marathon Petroleum Corp.		52,388		2,177
Murphy Oil Corp.		29,741		1,902
Nabors Industries, Ltd. (a)		42,504		926
National Oilwell Varco, Inc.		62,657		5,171
Newfield Exploration Co. (a)		20,600		742
Noble Corp. (a)		39,400		1,583
Noble Energy, Inc.		26,610		2,598
Occidental Petroleum Corp.		121,344		12,665
Peabody Energy Corp.		39,324		1,372
Pioneer Natural Resources Co.		18,100		1,985
QEP Resources, Inc.		27,068		924
Range Resources Corp.		23,400		1,490
Rowan Cos., Inc. (a)		19,620		723
Schlumberger, Ltd.		200,758		15,581
Southwestern Energy Co. (a)		50,800		1,679
Spectra Energy Corp.		99,698		3,129
Sunoco, Inc.		17,184		664
Tesoro Corp. (a)		20,765		551
Valero Energy Corp.		84,209		2,062
Williams Cos., Inc.		88,668		2,649
WPX Energy, Inc. (a)		30,856		560

				223,882

Financials — 14.8%
ACE Ltd.		51,300		3,679
AFLAC, Inc.		70,990		3,354
Allstate Corp.		76,306		2,398
American Express Co.		150,664		7,969
American International Group, Inc. (a)		65,133		1,903
American Tower Corp. REIT		58,200		3,642
Ameriprise Financial, Inc.		34,007		1,896
AON Corp.		48,947		2,291
Apartment Investment & Management Co. Class A		17,052		424
Assurant, Inc.		14,131		600
AvalonBay Communities, Inc.		13,698		1,776
Bank of America Corp.		1,514,471		12,070
Bank of New York Mellon Corp.		184,785		4,086
BB&T Corp.		105,170		3,076
Berkshire Hathaway, Inc. Class B (a)		263,103		20,640
BlackRock, Inc.		15,100		3,005
Boston Properties, Inc.		21,667		2,200
Capital One Financial Corp.		83,063		4,203
CBRE Group, Inc. (a)		49,575		909
Charles Schwab Corp.		158,493		2,200
Chubb Corp.		42,275		2,873
Cincinnati Financial Corp.		25,114		883
Citigroup, Inc.		437,120		14,565
CME Group, Inc.		10,091		2,921
Comerica, Inc.		28,944		859
DDR Corp. REIT		1,532		22
Discover Financial Services		80,905		2,428
E*Trade Financial Corp. (a)		35,531		342
Equity Residential		43,657		2,484
Federated Investors, Inc.Class B		14,870		305
Fifth Third Bancorp		142,916		1,945
First Horizon National Corp.		46,055		433
Franklin Resources, Inc.		21,480		2,532
Genworth Financial, Inc. Class A (a)		72,151		656
Goldman Sachs Group, Inc.		73,434		8,455
Hartford Financial Services Group, Inc.		69,797		1,445
HCP, Inc.		60,000		2,370
Health Care REIT, Inc.		28,500		1,552
Hudson City Bancorp, Inc.		76,692		525
Huntington Bancshares, Inc.		127,456		745
IntercontinentalExchange, Inc. (a)		11,180		1,542
Invesco, Ltd.		68,200		1,689
J.P. Morgan Chase & Co.		568,715		22,316
KeyCorp		150,475		1,219
Kimco Realty Corp.		62,669		1,152
Legg Mason, Inc.		18,042		494
Leucadia National Corp.		29,736		847
Lincoln National Corp.		42,592		1,058
Loews Corp.		45,931		1,798
M & T Bank Corp.		19,637		1,603
Marsh & McLennan Cos., Inc.		81,553		2,544
Mastercard, Inc. Class A		15,900		6,678
MetLife, Inc.		157,396		6,068
Moody’s Corp.		30,266		1,169
Morgan Stanley		220,130		4,081
NASDAQ OMX Group, Inc. (a)		18,400		485
Northern Trust Corp.		35,806		1,590
NYSE Euronext		40,200		1,197
Paychex, Inc.		50,338		1,576
People’s United Financial, Inc.		57,000		718
PNC Financial Services Group, Inc.		79,817		4,751
Principal Financial Group, Inc.		45,291		1,253
Progressive Corp.		92,901		1,990
ProLogis, Inc.		68,799		2,316
Prudential Financial, Inc.		69,639		4,259
Public Storage, Inc.		21,387		2,867
Regions Financial Corp.		191,689		1,104
Simon Property Group, Inc.		43,715		5,923
SLM Corp.		79,354		1,251
State Street Corp. (c)		74,825		3,160
SunTrust Banks, Inc.		77,618		1,782
T. Rowe Price Group, Inc.		38,275		2,357
Torchmark Corp.		14,931		723
Total System Services, Inc.		21,275		465
Travelers Cos., Inc.		61,104		3,542
U.S. Bancorp		284,652		8,369
Unum Group		41,829		964
Ventas, Inc.		42,400		2,371
Visa, Inc. Class A		75,900		8,832
Vornado Realty Trust		27,714		2,265
Wells Fargo & Co.		789,549		24,705
Western Union Co.		93,285		1,630
XL Group PLC		50,668		1,054
Zions Bancorp.		30,453		579

				278,997

Health Care — 10.9%
Abbott Laboratories		232,806		13,179
Aetna, Inc.		54,850		2,565
Allergan, Inc.		45,192		4,049
AmerisourceBergen Corp.		38,686		1,445
Amgen, Inc.		118,345		8,042
Baxter International, Inc.		83,761		4,869
Becton Dickinson and Co.		32,597		2,485
Biogen Idec, Inc. (a)		36,031		4,196
Boston Scientific Corp. (a)		219,034		1,362
Bristol-Myers Squibb Co.		252,716		8,130
C.R. Bard, Inc.		13,497		1,264
Cardinal Health, Inc.		50,757		2,109
CareFusion Corp. (a)		33,878		874
Celgene Corp. (a)		66,018		4,841


2

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)


			Market
			Value
	Shares		(000)

COMMON STOCKS — (continued)
Health Care — (continued)
Cerner Corp. (a)		21,200	$	1,565
CIGNA Corp.		43,496		1,919
Coventry Health Care, Inc. (a)		21,903		716
Covidien PLC		73,500		3,840
DaVita, Inc. (a)		14,600		1,264
Dentsply International, Inc.		20,800		805
Edwards Lifesciences Corp. (a)		17,800		1,302
Eli Lilly & Co.		151,675		5,952
Express Scripts, Inc. (a)		72,098		3,845
Forest Laboratories, Inc. (a)		39,802		1,294
Gilead Sciences, Inc. (a)		111,599		5,078
Hospira, Inc. (a)		25,303		901
Humana, Inc.		24,707		2,152
Intuitive Surgical, Inc. (a)		5,800		2,967
Johnson & Johnson		408,949		26,614
Laboratory Corp. of America Holdings (a)		14,322		1,287
Life Technologies Corp. (a)		27,887		1,319
McKesson Corp.		35,955		3,003
Mead Johnson Nutrition Co.		31,118		2,419
Medco Health Solutions, Inc. (a)		56,968		3,850
Medtronic, Inc.		157,078		5,988
Merck & Co., Inc.		455,970		17,404
Mylan, Inc. (a)		63,309		1,484
Patterson Cos., Inc.		12,894		412
Perrigo Co.		14,500		1,494
Pfizer, Inc.		1,150,911		24,284
Quest Diagnostics, Inc.		24,000		1,393
St. Jude Medical, Inc.		47,926		2,019
Stryker Corp.		49,289		2,644
Tenet Healthcare Corp. (a)		73,370		415
UnitedHealth Group, Inc.		159,096		8,870
Varian Medical Systems, Inc. (a)		16,160		1,054
Watson Pharmaceuticals, Inc. (a)		19,646		1,146
WellPoint, Inc.		53,038		3,481
Zimmer Holdings, Inc. (a)		26,652		1,619

				205,209

Industrials — 10.8%
3M Co.		104,572		9,161
Amphenol Corp. Class A		24,600		1,377
Avery Dennison Corp.		15,388		469
Boeing Co.		110,888		8,311
Caterpillar, Inc.		96,579		11,030
CH Robinson Worldwide, Inc.		23,961		1,586
Cintas Corp.		17,588		678
Cooper Industries PLC		22,900		1,402
CSX Corp.		159,814		3,358
Cummins, Inc.		29,358		3,540
Danaher Corp.		84,572		4,468
Deere & Co.		62,837		5,211
Dover Corp.		28,195		1,805
Eaton Corp.		49,190		2,567
Emerson Electric Co.		109,448		5,506
Equifax, Inc.		17,983		756
Expeditors International Washington, Inc.		30,720		1,340
Fastenal Co.		43,400		2,286
FedEx Corp.		47,100		4,239
First Solar, Inc. (a)		8,070		261
Flir Systems, Inc.		23,500		615
Flowserve Corp.		8,400		996
Fluor Corp.		25,160		1,522
Fortune Brands Home & Security, Inc. (a)		1,145		22
General Dynamics Corp.		53,861		3,944
General Electric Co.		1,581,233		30,122
Goodrich Corp.		18,845		2,374
Honeywell International, Inc.		115,281		6,867
Illinois Tool Works, Inc.		73,571		4,097
Ingersoll-Rand PLC		47,400		1,890
Iron Mountain, Inc.		28,100		873
Jacobs Engineering Group, Inc. (a)		20,400		943
Joy Global, Inc.		15,000		1,304
L-3 Communications Holdings, Inc.		15,703		1,103
Leggett & Platt, Inc.		20,398		462
Lockheed Martin Corp.		40,352		3,568
Masco Corp.		57,123		679
Norfolk Southern Corp.		51,255		3,531
Northrop Grumman Corp.		40,211		2,405
PACCAR, Inc.		54,074		2,488
Pall Corp.		17,409		1,105
Parker-Hannifin Corp.		22,703		2,039
Pitney Bowes, Inc.		29,727		539
Precision Castparts Corp.		21,307		3,567
Quanta Services, Inc. (a)		31,200		652
R.R. Donnelley & Sons Co.		29,609		409
Raytheon Co.		50,982		2,576
Republic Services, Inc.		45,703		1,363
Robert Half International, Inc.		23,440		666
Rockwell Automation, Inc.		20,405		1,632
Rockwell Collins, Inc.		22,531		1,336
Roper Industries, Inc.		15,000		1,373
Ryder System, Inc.		7,921		422
Southwest Airlines Co.		115,986		1,042
Stericycle, Inc. (a)		12,900		1,119
Textron, Inc.		40,939		1,126
Thermo Fisher Scientific, Inc. (a)		57,324		3,246
Tyco International, Ltd.		68,400		3,544
Union Pacific Corp.		72,068		7,946
United Parcel Service, Inc. Class B		144,146		11,083
United Technologies Corp.		135,378		11,354
W.W. Grainger, Inc.		9,169		1,905
Waste Management, Inc.		69,639		2,436
Xylem, Inc.		28,692		745

				202,381

Information Technology — 18.6%
Accenture PLC Class A		95,400		5,680
Adobe Systems, Inc. (a)		74,357		2,446
Advanced Micro Devices, Inc. (a)		84,086		618
Agilent Technologies, Inc. (a)		52,168		2,276
Akamai Technologies, Inc. (a)		27,324		984
Altera Corp.		46,954		1,805
Analog Devices, Inc.		44,869		1,759
AOL, Inc. (a)(d)		1		—
Apple, Inc. (a)		138,984		75,390
Applied Materials, Inc.		192,207		2,353
Autodesk, Inc. (a)		32,776		1,241
Automatic Data Processing, Inc.		72,417		3,934
BMC Software, Inc. (a)		26,221		982
Broadcom Corp. Class A (a)		71,459		2,655
CA, Inc.		52,999		1,433
Cisco Systems, Inc.		804,119		15,986
Citrix Systems, Inc. (a)		28,167		2,105
Cognizant Technology Solutions Corp. Class A (a)		45,884		3,255
Computer Sciences Corp.		23,144		735
Corning, Inc.		230,376		3,004
Dell, Inc. (a)		231,350		4,002
Dun & Bradstreet Corp.		7,100		587
Electronic Arts, Inc. (a)		50,400		823
EMC Corp. (a)		304,284		8,426
F5 Networks, Inc. (a)		12,200		1,524
Fidelity National Information Services, Inc.		38,077		1,208
Fiserv, Inc. (a)		21,052		1,396
Google, Inc. Class A (a)		37,790		23,364
Harris Corp.		19,000		829
Hewlett-Packard Co.		296,316		7,500
Intel Corp.		762,056		20,484
International Business Machines Corp.		176,542		34,731
Intuit, Inc.		43,763		2,531
Jabil Circuit, Inc.		27,551		712


3

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)


			Market
			Value
	Shares		(000)

COMMON STOCKS — (continued)
Information Technology — (continued)
Juniper Networks, Inc. (a)		78,593	$	1,789
KLA-Tencor Corp.		25,205		1,220
Lexmark International, Inc. Class A		10,042		370
Linear Technology Corp.		35,263		1,181
LSI Corp. (a)		89,162		767
Microchip Technology, Inc.		29,389		1,060
Micron Technology, Inc. (a)		147,162		1,258
Microsoft Corp. (b)		1,121,535		35,598
Molex, Inc.		19,805		537
Motorola Mobility Holdings, Inc. (a)		40,983		1,627
Motorola Solutions, Inc.		43,652		2,174
NetApp, Inc. (a)		54,057		2,324
Novellus Systems, Inc. (a)		9,830		457
NVIDIA Corp. (a)		93,456		1,416
Oracle Corp.		588,662		17,230
PerkinElmer, Inc.		15,618		422
QUALCOMM, Inc.		251,411		15,633
Red Hat, Inc. (a)		29,900		1,479
SAIC, Inc. (a)		42,900		524
Salesforce.com, Inc. (a)		20,100		2,877
SanDisk Corp. (a)		35,067		1,734
Symantec Corp. (a)		110,863		1,978
TE Connectivity, Ltd.		64,000		2,339
Teradata Corp. (a)		24,120		1,605
Teradyne, Inc. (a)		28,149		462
Texas Instruments, Inc.		169,999		5,669
VeriSign, Inc.		25,721		950
Waters Corp. (a)		13,765		1,233
Western Digital Corp. (a)		35,600		1,397
Xerox Corp.		208,401		1,715
Xilinx, Inc.		39,402		1,455
Yahoo!, Inc. (a)		182,919		2,713

				349,951

Materials — 3.7%
Air Products & Chemicals, Inc.		31,909		2,880
Airgas, Inc.		10,400		856
Alcoa, Inc.		155,249		1,579
Allegheny Technologies, Inc.		17,228		756
Ball Corp.		25,124		1,007
Bemis Co., Inc.		14,462		454
CF Industries Holdings, Inc.		9,850		1,832
Cliffs Natural Resources, Inc.		22,200		1,409
Dow Chemical Co.		175,928		5,895
E.I. Du Pont de Nemours & Co.		137,712		7,003
Eastman Chemical Co.		20,708		1,121
Ecolab, Inc.		45,866		2,752
FMC Corp.		10,700		1,059
Freeport-McMoRan Copper & Gold, Inc. Class B		141,104		6,005
International Flavors & Fragrances, Inc.		13,031		743
International Paper Co.		64,111		2,254
MeadWestvaco Corp.		26,720		809
Monsanto Co.		79,755		6,171
Mosaic Co.		43,800		2,530
Newmont Mining Corp.		75,006		4,455
Nucor Corp.		46,454		2,022
Owens-Illinois, Inc. (a)		24,000		574
Plum Creek Timber Co., Inc.		25,311		991
PPG Industries, Inc.		23,271		2,124
Praxair, Inc.		44,511		4,852
Sealed Air Corp.		22,792		447
Sherwin-Williams Co.		12,896		1,330
Sigma-Aldrich Corp.		18,934		1,359
Titanium Metals Corp.		10,800		158
United States Steel Corp.		21,478		585
Vulcan Materials Co.		18,961		845
Weyerhaeuser Co.		77,174		1,612

				68,469

Telecommunication Services — 2.7%
AT&T, Inc.		887,350		27,144
CenturyLink, Inc.		91,465		3,682
Frontier Communications Corp.		147,244		676
JDS Uniphase Corp. (a)		32,523		424
MetroPCS Communications, Inc. (a)		41,500		428
Sprint Nextel Corp. (a)		476,265		1,176
Verizon Communications, Inc.		423,466		16,138
Windstream Corp.		78,313		946

				50,614

Utilities — 3.4%
AES Corp. (a)		93,395		1,266
AGL Resources, Inc.		18,100		722
Ameren Corp.		37,560		1,205
American Electric Power Co., Inc.		73,952		2,781
CenterPoint Energy, Inc.		66,311		1,292
CMS Energy Corp.		37,956		813
Consolidated Edison, Inc.		43,152		2,507
Constellation Energy Group, Inc.		31,314		1,135
Dominion Resources, Inc.		84,562		4,268
DTE Energy Co.		26,384		1,424
Duke Energy Corp.		197,720		4,136
Edison International		47,819		2,002
Entergy Corp.		25,698		1,712
Exelon Corp.		98,321		3,841
FirstEnergy Corp.		62,922		2,787
Integrys Energy Group, Inc.		11,616		604
NextEra Energy, Inc.		62,621		3,727
NiSource, Inc.		41,982		1,008
Northeast Utilities		26,400		948
NRG Energy, Inc. (a)		36,700		628
Oneok, Inc.		16,100		1,331
Pepco Holdings, Inc.		34,700		675
PG&E Corp.		59,726		2,489
Pinnacle West Capital Corp.		16,160		760
PPL Corp.		88,475		2,526
Progress Energy, Inc.		43,381		2,303
Public Service Enterprise Group, Inc.		74,324		2,288
SCANA Corp.		17,700		797
Sempra Energy		35,186		2,084
Southern Co.		127,543		5,636
TECO Energy, Inc.		34,951		627
Wisconsin Energy Corp.		35,200		1,200
Xcel Energy, Inc.		70,951		1,879

				63,401


TOTAL COMMON STOCKS (Cost $1,060,245)				1,851,110

	Par
	Amount
	(000)



U.S. GOVERNMENT SECURITIES — 0.1%
U.S. Treasury Bill (b)(e) 0.03% due 06/14/12	$	100		100
U.S. Treasury Bill (b)(e) 0.03% due 06/14/12		1,365		1,365
U.S. Treasury Bill (b)(e) 0.05% due 05/17/12		350		350


4

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)


	Par		Market
	Amount		Value
	(000)		(000)

U.S. GOVERNMENT SECURITIES — (continued)
U.S. Treasury Bill (b)(e) 1.00% due 04/12/12	$	400	$	400
U.S. Treasury Bill (b)(e) 0.01% due 05/17/12		110		110


TOTAL U.S. GOVERNMENT SECURITIES (Cost $2,325)				2,325

	Shares
	(000)



MONEY MARKET FUNDS — 1.3%
AIM Short Term Investment Prime Portfolio		23,699		23,699
Federated Money Market Obligations Trust		578		578


TOTAL MONEY MARKET FUNDS (Cost $24,277)				24,277


Total Investments † — 99.9% (Cost $1,086,847 (f))				1,877,712

Other Assets in Excess of Liabilities — 0.1%				2,042


Net Assets — 100.0%			$	1,879,754

(a) Non-income producing security.

(b) All or part of this security has been designated as collateral for futures contracts.

(d) Amount is less than $1,000.

(e) Rate represents annualized yield at date of purchase.

(f) Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at February 29, 2012 was $838,752 and $47,887, respectively, resulting in net unrealized appreciation of investment of $790,865.

† Security valuation: The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.


PLC		= Public Limited Company
REIT		= Real Estate Investment Trust


5

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:


	•	Level 1 – quoted prices in active markets for identical securities
	•	Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
	•	Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 29, 2012, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total

ASSETS:
INVESTMENTS:
Common Stocks	$	1,851,110	$	–	$	–	$	1,851,110
U.S. Government Securities		–		2,325		–		2,325
Money Market Funds		24,277		–		–		24,277

TOTAL INVESTMENTS		1,875,387		2,325		–		1,877,712

OTHER ASSETS:
Futures contracts		2,554		–		–		2,554

TOTAL ASSETS	$	1,877,941	$	2,325	$	–	$	1,880,266

The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

As of the period ended February 29, 2012, there were no transfers between levels.

Derivatives

Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Asset and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

Number

Notional

Unrealized

Value

Appreciation

Contracts

(000)

Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long) Expiration Date 03/2012

496

31,283

2,554

Total unrealized appreciation on open futures contracts purchased

2,554


6

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
February 29, 2012 (Unaudited)

derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities for the period ended February 29, 2012:

Asset Derivatives⁽¹⁾ (amounts in thousands)


	Equity
	Contracts Risk		Total

Futures Contracts	$	2,554	$	2,554


⁽¹⁾		Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

Transactions in derivative instruments during the two months ended February 29, 2012, were as follows:

Realized Gain (Loss) (amounts in thousands)


	Equity
	Contracts Risk		Total

Futures Contracts	$	960	$	960

Change in Appreciation (Depreciation) (amounts in thousands)


	Equity
	Contracts Risk		Total

Futures Contracts	$	2,415	$	2,415

The average notional value of futures contracts outstanding during the period ended February 29, 2012, was $37,258,507.

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at February 29, 2012 is listed in the Portfolio of Investments.

Income Earned

Number of

Shares Purchased

Shares Sold for

Number of

Value at

for the Two Months

Realized Loss

Security

Shares Held

for the Two Months

the Two Months

Shares Held

2/29/2012

Ended 2/29/2012

on Shares Sold

Description

at 12/31/11

Ended 2/29/2012

at 2/29/2012

(000)

State Street Corp.

79,225

4,400

74,825

3,160

)


7

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

February 29, 2012 (Unaudited)

(Amounts in thousands)


Assets
Investments in unaffiliated issuers at market value (identified cost $1,084,373)	$	1,874,552
Investments in non-controlled affiliates at market value (identified cost $2,474)		3,160

Total investments at market value (identified cost $1,086,847)		1,877,712
Receivable for investment securities sold		3,608
Dividends and interest receivable		4,556

Total assets		1,885,876
Liabilities
Investment securities purchased		663
Daily variation margin on futures contracts		174
Management fees		59
Accrued expenses and other liabilities		5,226

Total liabilities		6,122

Net Assets	$	1,879,754


8

State Street Equity 500 Index Portfolio

Portfolio of Investments
December 31, 2011


			Market
			Value
	Shares		(000)


COMMON STOCKS – 97.3%
Consumer Discretionary – 10.9%
Abercrombie & Fitch Co. Class A		13,046	$	637
Amazon.com, Inc.^(a)		56,492		9,779
Apollo Group, Inc. Class A^(a)		18,029		971
AutoNation, Inc.^(a)		6,363		235
AutoZone, Inc.^(a)		4,464		1,451
Bed Bath & Beyond, Inc.^(a)		38,345		2,223
Best Buy Co., Inc.		47,119		1,101
Big Lots, Inc.^(a)		9,227		348
BorgWarner, Inc.^(a)		17,100		1,090
Cablevision Systems Corp.		35,600		506
CarMax, Inc.^(a)		34,000		1,036
Carnival Corp.		70,650		2,306
CBS Corp. Class B		105,103		2,853
Chipotle Mexican Grill, Inc.^(a)		5,000		1,689
Coach, Inc.		44,228		2,700
Comcast Corp. Class A		427,348		10,132
D.R. Horton, Inc.		40,376		509
Darden Restaurants, Inc.		20,488		934
DeVry, Inc.		10,400		400
Direct TV. Class A^(a)		110,077		4,707
Discovery Communications, Inc. Class A^(a)		43,000		1,762
Dollar Tree, Inc.^(a)		18,600		1,546
eBay, Inc.^(a)		178,903		5,426
Expedia, Inc.		14,357		417
Family Dollar Stores, Inc.		18,858		1,087
Ford Motor Co.^(a)		593,498		6,386
GameStop Corp. Class A^(a)		19,500		471
Gannett Co., Inc.		33,574		449
Gap, Inc.		53,498		992
Genuine Parts Co.		23,809		1,457
Goodyear Tire & Rubber Co.^(a)		34,957		495
H&R Block, Inc.		47,115		769
Harley-Davidson, Inc.		35,801		1,392
Harman International Industries, Inc.		9,721		370
Hasbro, Inc.		17,825		568
Home Depot, Inc.		243,112		10,220
Host Hotels & Resorts, Inc.		110,521		1,632
International Game Technology		47,919		824
Interpublic Group of Cos., Inc.		71,894		700
JC Penney Co., Inc.		21,810		767
Johnson Controls, Inc.		105,986		3,313
Kohl’s Corp.		39,533		1,951
Lennar Corp. Class A		25,931		510
Limited Brands, Inc.		38,767		1,564
Lowe’s Cos., Inc.		195,762		4,968
Macy’s, Inc.		67,423		2,170
Marriott International, Inc. Class A		40,450		1,180
Mattel, Inc.		54,676		1,518
McDonald’s Corp.		159,725		16,025
McGraw-Hill Cos., Inc.		46,966		2,112
NetFlix, Inc.^(a)		8,000		554
Newell Rubbermaid, Inc.		42,693		689
News Corp. Class A		342,209		6,105
NIKE, Inc. Class B		57,852		5,575
Nordstrom, Inc.		26,233		1,304
O’Reilly Automotive, Inc.^(a)		19,400		1,551
Omnicom Group, Inc.		43,941		1,959
Orchard Supply Hardware Stores Corp. Class A^(a)(b)		242		2
Priceline.com, Inc.^(a)		7,690		3,597
PulteGroup, Inc.^(a)		54,705		345
Ralph Lauren Corp.		9,815		1,355
Ross Stores, Inc.		36,800		1,749
Scripps Networks Interactive, Inc. Class A		16,235		689
Sears Holdings Corp.^(a)		5,374		171
Snap-on, Inc.		9,212		466
Stanley Black & Decker, Inc.		26,207		1,772
Staples, Inc.		111,233		1,545
Starbucks Corp.		115,961		5,335
Starwood Hotels & Resorts Worldwide, Inc.		30,047		1,441
Target Corp.		105,316		5,394
Tiffany & Co.		19,880		1,317
Time Warner Cable, Inc.		51,171		3,253
Time Warner, Inc.		156,191		5,645
TJX Cos., Inc.		58,506		3,777
TripAdvisor, Inc.^(a)		14,357		362
Urban Outfitters, Inc.^(a)		18,300		504
V.F. Corp.		13,693		1,739
Viacom, Inc. Class B		88,322		4,011
Walt Disney Co.		280,345		10,513
Washington Post Co. Class B		660		249
Whirlpool Corp.		11,361		539
Wyndham Worldwide Corp.		22,699		859
Wynn Resorts, Ltd.		12,700		1,403
Yum! Brands, Inc.		71,592		4,225

				198,642

Consumer Staples – 11.1%
Altria Group, Inc.		321,799		9,541
Archer-Daniels-Midland Co.		103,624		2,964
Avon Products, Inc.		68,660		1,199
Beam, Inc.		23,345		1,196
Brown-Forman Corp. Class B		15,655		1,260
Campbell Soup Co.		26,665		886
Clorox Co.		20,543		1,367
Coca-Cola Co.		355,711		24,889
Coca-Cola Enterprises, Inc.		51,001		1,315
Colgate-Palmolive Co.		76,001		7,022
ConAgra Foods, Inc.		64,975		1,715
Constellation Brands, Inc. Class A^(a)		29,326		606
Costco Wholesale Corp.		68,389		5,698
CVS Caremark Corp.		203,132		8,284
Dean Foods Co.^(a)		23,558		264
Dr Pepper Snapple Group, Inc.		34,700		1,370
Estee Lauder Cos., Inc. Class A		17,852		2,005
General Mills, Inc.		99,464		4,019
H.J. Heinz Co.		50,369		2,722
Hormel Foods Corp.		21,200		621
Kellogg Co.		39,335		1,989
Kimberly-Clark Corp.		60,800		4,472
Kraft Foods, Inc. Class A		274,509		10,256
Kroger Co.		95,576		2,315
Lorillard, Inc.		21,661		2,469
McCormick & Co., Inc.		20,753		1,046
Molson Coors Brewing Co. Class B		25,162		1,096
PepsiCo, Inc.		244,954		16,253
Philip Morris International, Inc.		271,999		21,346
Procter & Gamble Co.		429,319		28,640
Reynolds American, Inc.		53,374		2,211
Safeway, Inc.		54,164		1,140
Sara Lee Corp.		92,534		1,751
SuperValu, Inc.		34,848		283
Sysco Corp.		93,009		2,728
The Hershey Co.		24,182		1,494
The J.M. Smucker Co.		18,160		1,420
Tyson Foods, Inc. Class A		44,235		913
Wal-Mart Stores, Inc.		272,102		16,261

See Notes to Financial Statements.


1

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
December 31, 2011


			Market
			Value
	Shares		(000)

COMMON STOCKS – (continued)
Consumer Staples – (continued)
Walgreen Co.		140,618	$	4,649
Whole Foods Market, Inc.		25,033		1,742

				203,417

Energy – 11.9%
Alpha Natural Resources, Inc.^(a)		35,600		727
Anadarko Petroleum Corp.		77,726		5,933
Apache Corp.		59,925		5,428
Baker Hughes, Inc.		67,173		3,267
Cabot Oil & Gas Corp.		16,300		1,237
Cameron International Corp.^(a)		38,600		1,899
Chesapeake Energy Corp.		102,582		2,287
Chevron Corp.^(c)		310,446		33,031
ConocoPhillips		207,130		15,094
Consol Energy, Inc.		34,973		1,283
Denbury Resources, Inc.^(a)		61,500		929
Devon Energy Corp.		64,651		4,008
Diamond Offshore Drilling, Inc.		10,200		564
El Paso Corp.		121,192		3,220
EOG Resources, Inc.		41,417		4,080
EQT Corp.		23,300		1,277
ExxonMobil Corp.^(c)		747,847		63,387
FMC Technologies, Inc.^(a)		36,600		1,912
Halliburton Co.		142,934		4,933
Helmerich & Payne, Inc.		16,300		951
Hess Corp.		47,501		2,698
Marathon Oil Corp.		112,277		3,286
Marathon Petroleum Corp.		55,588		1,850
Murphy Oil Corp.		29,741		1,658
Nabors Industries, Ltd.^(a)		42,504		737
National Oilwell Varco, Inc.		65,757		4,471
Newfield Exploration Co.^(a)		20,600		777
Noble Corp.^(a)		39,400		1,191
Noble Energy, Inc.		27,710		2,616
Occidental Petroleum Corp.		125,744		11,782
Peabody Energy Corp.		43,024		1,424
Pioneer Natural Resources Co.		18,100		1,620
QEP Resources, Inc.		27,068		793
Range Resources Corp.		25,300		1,567
Rowan Cos., Inc.^(a)		19,620		595
Schlumberger, Ltd.		208,858		14,267
Southwestern Energy Co.^(a)		54,900		1,753
Spectra Energy Corp.		99,698		3,066
Sunoco, Inc.		17,184		705
Tesoro Corp.^(a)		20,765		485
Valero Energy Corp.		90,109		1,897
Williams Cos., Inc.		92,568		3,057

				217,742

Financials – 13.9%
ACE Ltd.		52,800		3,702
AFLAC, Inc.		73,490		3,179
Allstate Corp.		81,506		2,234
American Express Co.		157,664		7,437
American International Group, Inc.^(a)		69,433		1,611
Ameriprise Financial, Inc.		36,607		1,817
AON Corp.		51,147		2,394
Apartment Investment & Management Co. Class A		17,052		391
Assurant, Inc.		14,131		580
AvalonBay Communities, Inc.		14,798		1,933
Bank of America Corp.		1,574,471		8,754
Bank of New York Mellon Corp.		189,885		3,781
BB&T Corp.		109,170		2,748
Berkshire Hathaway, Inc. Class B^(a)		272,403		20,784
BlackRock, Inc.		15,700		2,798
Boston Properties, Inc.		22,967		2,288
Capital One Financial Corp.		72,263		3,056
CBRE Group, Inc.^(a)		49,575		755
Charles Schwab Corp.		169,893		1,913
Chubb Corp.		43,875		3,037
Cincinnati Financial Corp.		25,114		765
Citigroup, Inc.		451,520		11,880
CME Group, Inc.		10,491		2,556
Comerica, Inc.		32,744		845
DDR Corp. REIT		1,532		19
Discover Financial Services		86,105		2,067
E*Trade Financial Corp.^(a)		35,531		283
Equity Residential		46,457		2,649
Federated Investors, Inc. Class B		14,870		225
Fifth Third Bancorp		142,916		1,818
First Horizon National Corp.		46,055		368
Franklin Resources, Inc.		22,580		2,169
Genworth Financial, Inc. Class A^(a)		72,151		473
Goldman Sachs Group, Inc.		78,134		7,066
Hartford Financial Services Group, Inc.		69,797		1,134
HCP, Inc.		63,800		2,643
Health Care REIT, Inc.		28,500		1,554
Hudson City Bancorp, Inc.		76,692		479
Huntington Bancshares, Inc.		127,456		700
IntercontinentalExchange, Inc.^(a)		11,180		1,348
Invesco, Ltd.		68,200		1,370
J.P. Morgan Chase & Co.		592,915		19,714
KeyCorp		150,475		1,157
Kimco Realty Corp.		62,669		1,018
Legg Mason, Inc.		18,042		434
Leucadia National Corp.		29,736		676
Lincoln National Corp.		48,192		936
Loews Corp.		48,931		1,842
M & T Bank Corp.		19,637		1,499
Marsh & McLennan Cos., Inc.		84,953		2,686
Mastercard, Inc. Class A		16,500		6,152
MetLife, Inc.		164,396		5,126
Moody’s Corp.		30,266		1,019
Morgan Stanley		228,130		3,452
NASDAQ OMX Group, Inc.^(a)		18,400		451
Northern Trust Corp.		38,506		1,527
NYSE Euronext		40,200		1,049
Paychex, Inc.		50,338		1,516
People’s United Financial, Inc.		57,000		733
PNC Financial Services Group, Inc.		81,717		4,713
Principal Financial Group, Inc.		50,291		1,237
Progressive Corp.		99,501		1,941
ProLogis, Inc.		72,299		2,067
Prudential Financial, Inc.		74,939		3,756
Public Storage, Inc.		22,287		2,997
Regions Financial Corp.		191,689		824
Simon Property Group, Inc.		45,815		5,907
SLM Corp.		79,354		1,063
State Street Corp.^(d)		79,225		3,194
SunTrust Banks, Inc.		83,918		1,485
T. Rowe Price Group, Inc.		40,075		2,282
Torchmark Corp.		17,131		743
Total System Services, Inc.		27,675		541
Travelers Cos., Inc.		64,304		3,805
U.S. Bancorp		296,652		8,024
Unum Group		47,529		1,001
Ventas, Inc.		45,100		2,486
Visa, Inc. Class A		79,000		8,021
Vornado Realty Trust		29,114		2,238

See Notes to Financial Statements.


2

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
December 31, 2011


			Market
			Value
	Shares		(000)

COMMON STOCKS – (continued)
Financials – (continued)
Wells Fargo & Co.		817,749	$	22,537
Western Union Co.		98,585		1,800
XL Group PLC		50,668		1,002
Zions Bancorp.		30,453		496

				252,750

Health Care – 11.3%
Abbott Laboratories		240,806		13,541
Aetna, Inc.		58,950		2,487
Allergan, Inc.		47,392		4,158
AmerisourceBergen Corp.		41,786		1,554
Amgen, Inc.		123,745		7,946
Baxter International, Inc.		88,261		4,367
Becton Dickinson and Co.		34,097		2,548
Biogen Idec, Inc.^(a)		37,631		4,141
Boston Scientific Corp.^(a)		238,634		1,274
Bristol-Myers Squibb Co.		263,516		9,286
C.R. Bard, Inc.		13,497		1,154
Cardinal Health, Inc.		53,957		2,191
CareFusion Corp.^(a)		33,878		861
Celgene Corp.^(a)		69,218		4,679
Cerner Corp.^(a)		23,100		1,415
CIGNA Corp.		43,496		1,827
Coventry Health Care, Inc.^(a)		21,903		665
Covidien PLC		75,800		3,412
DaVita, Inc.^(a)		14,600		1,107
Dentsply International, Inc.		20,800		728
Edwards Lifesciences Corp.^(a)		17,800		1,258
Eli Lilly & Co.		159,075		6,611
Express Scripts, Inc.^(a)		74,998		3,352
Forest Laboratories, Inc.^(a)		43,802		1,325
Gilead Sciences, Inc.^(a)		119,799		4,903
Hospira, Inc.^(a)		25,303		768
Humana, Inc.		26,407		2,314
Intuitive Surgical, Inc.^(a)		6,100		2,824
Johnson & Johnson		424,549		27,842
Laboratory Corp. of America Holdings^(a)		15,822		1,360
Life Technologies Corp.^(a)		27,887		1,085
McKesson Corp.		37,755		2,942
Mead Johnson Nutrition Co.		31,118		2,139
Medco Health Solutions, Inc.^(a)		59,168		3,308
Medtronic, Inc.		164,878		6,307
Merck & Co., Inc.		476,970		17,982
Mylan, Inc.^(a)		68,209		1,464
Patterson Cos., Inc.		12,894		381
Perrigo Co.		14,500		1,411
Pfizer, Inc.		1,199,411		25,955
Quest Diagnostics, Inc.		24,000		1,393
St. Jude Medical, Inc.		51,926		1,781
Stryker Corp.		51,689		2,570
Tenet Healthcare Corp.^(a)		73,370		376
UnitedHealth Group, Inc.		166,196		8,423
Varian Medical Systems, Inc.^(a)		18,160		1,219
Watson Pharmaceuticals, Inc.^(a)		19,646		1,185
WellPoint, Inc.		55,438		3,673
Zimmer Holdings, Inc.^(a)		28,552		1,525

				207,017

Industrials – 10.6%
3M Co.		110,172		9,004
Amphenol Corp. Class A		27,300		1,239
Avery Dennison Corp.		15,388		441
Boeing Co.		114,488		8,398
Caterpillar, Inc.		100,379		9,094
CH Robinson Worldwide, Inc.		25,961		1,812
Cintas Corp.		17,588		612
Cooper Industries PLC		25,100		1,359
CSX Corp.		168,314		3,545
Cummins, Inc.		30,258		2,663
Danaher Corp.		88,272		4,152
Deere & Co.		64,337		4,977
Dover Corp.		28,195		1,637
Eaton Corp.		52,190		2,272
Emerson Electric Co.		116,248		5,416
Equifax, Inc.		17,983		697
Expeditors International Washington, Inc.		33,820		1,385
Fastenal Co.		46,500		2,028
FedEx Corp.		48,900		4,084
First Solar, Inc.^(a)		8,070		272
Flir Systems, Inc.		23,500		589
Flowserve Corp.		8,400		834
Fluor Corp.		27,160		1,365
Fortune Brands Home & Security, Inc.^(a)		1,145		20
General Dynamics Corp.		55,561		3,690
General Electric Co.^(c)		1,642,433		29,416
Goodrich Corp.		19,745		2,442
Honeywell International, Inc.		120,781		6,564
Illinois Tool Works, Inc.		76,671		3,581
Ingersoll-Rand PLC		47,400		1,444
Iron Mountain, Inc.		28,100		866
Jacobs Engineering Group, Inc.^(a)		20,400		828
Joy Global, Inc.		16,600		1,245
L-3 Communications Holdings, Inc.		15,703		1,047
Leggett & Platt, Inc.		20,398		470
Lockheed Martin Corp.		42,252		3,418
Masco Corp.		57,123		599
Norfolk Southern Corp.		53,455		3,895
Northrop Grumman Corp.		40,211		2,352
PACCAR, Inc.		57,774		2,165
Pall Corp.		17,409		995
Parker-Hannifin Corp.		24,203		1,846
Pitney Bowes, Inc.		29,727		551
Precision Castparts Corp.		22,107		3,643
Quanta Services, Inc.^(a)		31,200		672
R.R. Donnelley & Sons Co.		29,609		427
Raytheon Co.		54,082		2,617
Republic Services, Inc.		49,903		1,375
Robert Half International, Inc.		23,440		667
Rockwell Automation, Inc.		22,205		1,629
Rockwell Collins, Inc.		24,531		1,358
Roper Industries, Inc.		15,000		1,303
Ryder System, Inc.		7,921		421
Southwest Airlines Co.		126,986		1,087
Stericycle, Inc.^(a)		12,900		1,005
Textron, Inc.		40,939		757
Thermo Fisher Scientific, Inc.^(a)		60,024		2,699
Tyco International, Ltd.		71,300		3,330
Union Pacific Corp.		75,368		7,985
United Parcel Service, Inc. Class B		150,546		11,018
United Technologies Corp.		141,278		10,326
W.W. Grainger, Inc.		9,669		1,810
Waste Management, Inc.		73,839		2,415
Xylem, Inc.		28,692		737

				192,590

Information Technology – 17.3%
Accenture PLC Class A		100,600		5,355
Adobe Systems, Inc.^(a)		77,957		2,204

See Notes to Financial Statements.


3

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
December 31, 2011


			Market
			Value
	Shares		(000)

COMMON STOCKS – (continued)
Information Technology – (continued)
Advanced Micro Devices, Inc.^(a)		84,086	$	454
Agilent Technologies, Inc.^(a)		54,768		1,913
Akamai Technologies, Inc.^(a)		27,324		882
Altera Corp.		50,454		1,872
Analog Devices, Inc.		47,569		1,702
AOL, Inc.^(a)(c)		1		—
Apple, Inc.^(a)		144,984		58,719
Applied Materials, Inc.		203,807		2,183
Autodesk, Inc.^(a)		36,276		1,100
Automatic Data Processing, Inc.		75,517		4,079
BMC Software, Inc.^(a)		26,221		860
Broadcom Corp. Class A^(a)		75,359		2,213
CA, Inc.		58,299		1,178
Cisco Systems, Inc.		838,819		15,166
Citrix Systems, Inc.^(a)		29,667		1,801
Cognizant Technology Solutions Corp. Class A^(a)		47,784		3,073
Computer Sciences Corp.		23,144		548
Corning, Inc.		241,176		3,130
Dell, Inc.^(a)		238,350		3,487
Dun & Bradstreet Corp.		7,100		531
Electronic Arts, Inc.^(a)		50,400		1,038
EMC Corp.^(a)		318,884		6,869
F5 Networks, Inc.^(a)		12,200		1,295
Fidelity National Information Services, Inc.		38,077		1,012
Fiserv, Inc.^(a)		22,752		1,336
Google, Inc. Class A^(a)		39,390		25,442
Harris Corp.		19,000		685
Hewlett-Packard Co.		310,016		7,986
Intel Corp.		794,456		19,266
International Business Machines Corp.		183,942		33,823
Intuit, Inc.		46,463		2,443
Jabil Circuit, Inc.		27,551		542
Juniper Networks, Inc.^(a)		83,793		1,710
KLA-Tencor Corp.		25,205		1,216
Lexmark International, Inc. Class A		10,042		332
Linear Technology Corp.		35,263		1,059
LSI Corp.^(a)		89,162		530
Microchip Technology, Inc.		29,389		1,077
Micron Technology, Inc.^(a)		161,462		1,016
Microsoft Corp.^(c)		1,168,135		30,325
Molex, Inc.		19,805		473
Motorola Mobility Holdings, Inc.^(a)		40,983		1,590
Motorola Solutions, Inc.		43,652		2,021
NetApp, Inc.^(a)		58,157		2,109
Novellus Systems, Inc.^(a)		9,830		406
NVIDIA Corp.^(a)		93,456		1,295
Oracle Corp.		611,862		15,694
PerkinElmer, Inc.		15,618		312
QUALCOMM, Inc.		259,911		14,217
Red Hat, Inc.^(a)		29,900		1,235
SAIC, Inc.^(a)		42,900		527
Salesforce.com, Inc.^(a)		21,200		2,151
SanDisk Corp.^(a)		37,667		1,854
Symantec Corp.^(a)		118,163		1,849
TE Connectivity, Ltd.		68,400		2,107
Teradata Corp.^(a)		26,220		1,272
Teradyne, Inc.^(a)		28,149		384
Texas Instruments, Inc.		180,199		5,246
VeriSign, Inc.		25,721		919
Waters Corp.^(a)		13,765		1,019
Western Digital Corp.^(a)		35,600		1,102
Xerox Corp.		223,001		1,775
Xilinx, Inc.		42,402		1,359
Yahoo!, Inc.^(a)		193,619		3,123

				315,491

Materials – 3.5%
Air Products & Chemicals, Inc.		33,409		2,846
Airgas, Inc.		10,400		812
Alcoa, Inc.		168,749		1,460
Allegheny Technologies, Inc.		17,228		824
Ball Corp.		25,124		897
Bemis Co., Inc.		14,462		435
CF Industries Holdings, Inc.		10,450		1,515
Cliffs Natural Resources, Inc.		22,200		1,384
Dow Chemical Co.		183,628		5,281
E.I. Du Pont de Nemours & Co.		143,912		6,588
Eastman Chemical Co.		20,708		809
Ecolab, Inc.		45,866		2,652
FMC Corp.		10,700		921
Freeport-McMoRan Copper & Gold, Inc. Class B		147,904		5,441
International Flavors & Fragrances, Inc.		13,031		683
International Paper Co.		68,811		2,037
MeadWestvaco Corp.		26,720		800
Monsanto Co.		83,455		5,848
Mosaic Co.		43,800		2,209
Newmont Mining Corp.		77,106		4,627
Nucor Corp.		49,854		1,973
Owens-Illinois, Inc.^(a)		24,000		465
Plum Creek Timber Co., Inc.		25,311		925
PPG Industries, Inc.		24,871		2,076
Praxair, Inc.		46,911		5,015
Sealed Air Corp.		22,792		392
Sherwin-Williams Co.		13,996		1,249
Sigma-Aldrich Corp.		18,934		1,183
Titanium Metals Corp.		10,800		162
United States Steel Corp.		21,478		568
Vulcan Materials Co.		18,961		746
Weyerhaeuser Co.		84,074		1,570

				64,393

Telecommunication Services – 3.1%
American Tower Corp. Class A		60,800		3,649
AT&T, Inc.		918,150		27,765
CenturyLink, Inc.		94,665		3,522
Frontier Communications Corp.		147,244		758
JDS Uniphase Corp.^(a)		32,523		340
MetroPCS Communications, Inc.^(a)		41,500		360
Sprint Nextel Corp.^(a)		476,265		1,114
Verizon Communications, Inc.		438,166		17,579
Windstream Corp.		78,313		919

				56,006

Utilities – 3.7%
AES Corp.^(a)		102,795		1,217
AGL Resources, Inc.		18,100		765
Ameren Corp.		37,560		1,244
American Electric Power Co., Inc.		73,952		3,055
CenterPoint Energy, Inc.		66,311		1,332
CMS Energy Corp.		37,956		838
Consolidated Edison, Inc.		45,952		2,850
Constellation Energy Group, Inc.		31,314		1,242
Dominion Resources, Inc.		88,362		4,690
DTE Energy Co.		26,384		1,437
Duke Energy Corp.		206,620		4,546
Edison International		51,319		2,125
Entergy Corp.		27,798		2,031
Exelon Corp.		102,821		4,459

See Notes to Financial Statements.


4

State Street Equity 500 Index Portfolio

Portfolio of Investments – (continued)
December 31, 2011


			Market
			Value
	Shares		(000)

COMMON STOCKS – (continued)
Utilities – (continued)
FirstEnergy Corp.		65,722	$	2,911
Integrys Energy Group, Inc.		11,616		629
NextEra Energy, Inc.		64,921		3,952
NiSource, Inc.		41,982		1,000
Northeast Utilities		26,400		952
NRG Energy, Inc.^(a)		36,700		665
Oneok, Inc.		16,100		1,396
Pepco Holdings, Inc.		34,700		704
PG&E Corp.		63,026		2,598
Pinnacle West Capital Corp.		16,160		779
PPL Corp.		88,475		2,603
Progress Energy, Inc.		46,181		2,587
Public Service Enterprise Group, Inc.		79,324		2,619
SCANA Corp.		17,700		798
Sempra Energy		37,386		2,056
Southern Co.		133,843		6,196
TECO Energy, Inc.		34,951		669
Wisconsin Energy Corp.		35,200		1,231
Xcel Energy, Inc.		76,351		2,110

				68,286


TOTAL COMMON STOCKS (Cost $1,113,788)				1,776,334

PREFERRED STOCK – 0.0%
Consumer Discretionary – 0.0%
Orchard Supply Hardware Stores Corp. Series A^(a)(b)(e)		242		—

TOTAL PREFERRED STOCK (Cost $1)				—


	Par
	Amount


U.S. GOVERNMENT SECURITIES – 0.1%
U.S. Treasury Bill^(c)(f)
0.01% due 02/23/2012	$	350,000		350
U.S. Treasury Bill^(c)(f)
0.01% due 05/17/2012		110,000		110
U.S. Treasury Bill^(c)(f)
0.00% due 01/12/2012		2,265,000		2,265
U.S. Treasury Bill^(c)(f)
0.00% due 04/12/2012		400,000		400


TOTAL U.S. GOVERNMENT SECURITIES (Cost $3,125)				3,125

			Market
			Value
	Shares		(000)


MONEY MARKET FUNDS – 2.4%
AIM Short Term Investment Prime Portfolio		42,650,897	$	42,651
Federated Money Market Obligations Trust		577,343		577


TOTAL MONEY MARKET FUNDS (Cost $43,228)				43,228


TOTAL INVESTMENTS† – 99.8% (Cost $1,160,142)				1,822,687

Other Assets in Excess of Liabilities – 0.2%				2,841


NET ASSETS – 100.0%			$	1,825,528


(a)		Non-income producing security.

(b)		Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs. (Note 2)

(c)		All or part of this security has been designated as collateral for futures contracts.

(d)		Affiliated issuer. See table that follows for more information.

(e)		Amount is less than $1,000.

(f)		Rate represents annualized yield at date of purchase.

†		See Note 2 of the Notes to Financial Statements.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

Notional

Unrealized

Number of

Value

Appreciation

Contracts

(000)

Schedule of Futures S&P 500 Financial Futures Contracts (long) Expiration Date 3/2012

786

$49,088

139

Total unrealized appreciation on open futures contracts purchased

139

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 2011 is listed in the Portfolio of Investments.

Income earned

Shares purchased

Shares sold for

Number of

Value at

for the twelve months

Realized loss

Security

Number of shares

for the twelve months

the twelve months

shares held

12/31/2011

ended 12/31/2011

on shares sold

Description

held at 12/31/10

ended 12/31/2011

at 12/31/2011

(000)

State Street Corp.

85,825

6,100

12,700

79,225

$3,194

$57

$(20)

See Notes to Financial Statements.


5

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2011

(Amounts in thousands)


Assets
Investments in unaffiliated issuers at market value (identified cost $1,157,478)	$	1,819,493
Investments in non-controlled affiliates at market value (identified cost $2,664) (Note 4)		3,194

Total investments at market value (identified cost $1,160,142)		1,822,687
Cash		4
Receivable for investment securities sold		312
Dividends and interest receivable		2,766

Total assets		1,825,769
Liabilities
Daily variation margin on futures contracts		180
Management fees (Note 4)		61

Total liabilities		241

Net Assets	$	1,825,528

See Notes to Financial Statements.


6

State Street Equity 500 Index Portfolio

Statement of Operations

Year Ended December 31, 2011

(Amounts in thousands)


Investment Income
Interest	$	25
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $33)		38,773
Dividend income – non-controlled affiliated issuer		57

Total investment income		38,855

Expenses
Management fees (Note 4)		840

Total expenses		840

Net Investment Income	$	38,015

Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers	$	65,528
Investments – non-controlled affiliated issuer		(20	)
Futures contracts		2,728

		68,236

Net change in net unrealized appreciation (depreciation) on:
Investments		(60,247	)
Futures contracts		(403	)

		(60,650	)


Net realized and unrealized gain		7,586

Net Increase in Net Assets Resulting from Operations	$	45,601

See Notes to Financial Statements.


7

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

(Amounts in thousands)


	For The			For The
	Year Ended			Year Ended
	December 31, 2011			December 31, 2010
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	38,015		$	37,668
Net realized gain on investments and futures contracts		68,236			26,111
Net change in net unrealized appreciation (depreciation) on investments and futures contracts		(60,650	)		214,085

Net increase in net assets from operations		45,601			277,864

Capital Transactions
Contributions		279,791			241,838
Withdrawals		(598,001	)		(314,951	)

Net decrease in net assets from capital transactions		(318,210	)		(73,113	)

Net Increase (Decrease) in Net Assets		(272,609	)		204,751
Net Assets
Beginning of year		2,098,137			1,893,386

End of year	$	1,825,528		$	2,098,137

See Notes to Financial Statements.


8

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:


	Year Ended		Year Ended		Year Ended		Year Ended			Year Ended
	12/31/11		12/31/10		12/31/09		12/31/08			12/31/07

Supplemental Data and Ratios:
Net assets, end of period (in thousands)		1,825,528		2,098,137		1,893,386		1,522,208			2,422,377
Ratios to average net assets:
Operating expenses		0.045%		0.045%		0.045%		0.045%			0.045%
Net investment income		2.04%		1.99%		2.28%		2.30%			1.96%
Portfolio turnover rate^(a)		15%		12%		19%		14%			12%
Total return^(b)		2.03%		15.08%		26.50%		(37.02	)%		5.49%


^(a)		The portfolio turnover rate excludes in-kind security transactions.
^(b)		Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.


9

State Street Equity 500 Index Portfolio

Notes to Financial Statements
December 31, 2011

1. Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2011, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500^® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500^® Index. The S&P 500^® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

2. Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The three tier hierarchy of inputs is summarized below:


	•	Level 1 – quoted prices in active markets for identical securities

	•	Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

	•	Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.


10

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)
December 31, 2011

The following is a summary of the inputs used, as of December 31, 2011, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):

Quoted Prices in

Active Markets for

Significant Other

Significant

Identical Assets

Observable Inputs

Unobservable Inputs

Description

(Level 1)

(Level 2)

(Level 3)

Total

Assets:

Investments:

Common Stocks

1,776,332

–

1,776,334

Preferred Stock

–

_–

–

_–

U.S. Government Securities

–

3,125

–

3,125

Money Market Funds

43,228

–

43,228

Total Investments

1,819,560

3,127

–

1,822,687

Other Assets:

Futures contracts

139

–

139

Total Assets

1,819,699

3,127

–

1,822,826


*		Fund held Level 2 securities that were valued at $0 at December 31, 2011.

As of the year ended December 31, 2011, there were no transfers between levels.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.

Federal income taxes: The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2011, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2011, tax years 2008 through 2011 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2011, the tax cost of investments was $1,315,634,901. The aggregate gross unrealized appreciation and gross unrealized depreciation was $579,830,424 and $72,778,052 respectively, resulting in net appreciation of $507,052,372 for all securities as computed on a federal income tax basis.

Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.


11

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)
December 31, 2011

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2011:

Asset Derivatives⁽¹⁾ (amounts in thousands)


	Equity
	Contracts Risk		Total

Futures Contracts	$	139	$	139


⁽¹⁾		Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

Transactions in derivative instruments during the year ended December 31, 2011, were as follows:

Realized Gain (Loss)⁽²⁾ (amounts in thousands)


	Equity
	Contracts Risk		Total

Futures Contracts	$	2,728	$	2,728

Change in Appreciation (Depreciation)⁽³⁾ (amounts in thousands)


	Equity
	Contracts Risk			Total

Futures Contracts	$	(403	)	$	(403	)


⁽²⁾		Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽³⁾		Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional value of futures contracts outstanding during the period ended December 31, 2011, was $36,089,554.

Use of estimates: The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.

Subsequent Events: Management has determined that there are no subsequent events or transactions that would have materially impacted the Portfolio’s financial statements as presented.

3. Securities Transactions

For the year ended December 31, 2011, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $277,424,267 and $455,596,021 respectively.


12

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)
December 31, 2011

4. Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 2011 is listed in the Portfolio of Investments.

5. Trustees’ Fees

The Trust paid each Trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also paid each Trustee an annual retainer of $30,000. Each Trustee is reimbursed for out-of-pocket and travel expenses. Effective January 1, 2012, the Trust pays each Trustee an annual retainer of $100,000, meeting fees of $5,000 and telephonic meeting fees of $1,250.

6. Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

7. New Accounting Pronouncement

In May 2011, the FASB issued ASU 2011-04, “Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS (International Financial Reporting Standards)”. The ASU changes certain fair value measurement principles and disclosure requirements. The ASU is effective for annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU 2011-04 will have on the Funds’ financial statements and related disclosures.


13

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of State Street Master Funds and

Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds), including the portfolio of investments, as of December 31, 2011, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, of State Street Master Funds, at December 31, 2011, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 23, 2012


14

State Street Equity 500 Index Portfolio

General Information

December 31, 2011 (Unaudited)

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 17, 2011 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering renewal of the Advisory Agreement at the November Meeting, the Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”) convened a special telephonic meeting on October 19, 2011 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street Bank and Trust Company (“State Street”), which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.0 trillion in assets under management at September 30, 2011, including over $214.5 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of a variety of index products are exceptional. As discussed more fully below, they also determined that the advisory fee paid by the Portfolio was fair and reasonable and that the Portfolio’s performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

The Trustees determined, in view of the investment objective of the Portfolio and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolio supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the


15

State Street Equity 500 Index Portfolio

General Information — (continued)

December 31, 2011 (Unaudited)

Advisory Agreement Renewal — (continued)

extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that performance of the Portfolio was satisfactory.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended June 30, 2011, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, including information as to changes in the methodologies from prior years, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust. They noted that the levels of profitability had increased in recent periods as a number of the Funds and Portfolios had experienced significant growth, and they determined to reconsider the profitability of these relationships to the Adviser and State Street at next year’s renewal meeting.

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these tended to be lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with those of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements to obtain third-party (non-proprietary research) services in connection with the Portfolio’s brokerage transactions. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees approved the continuance of the Advisory Agreement.


16

Trustees and Executive Officers (Unaudited)

The table below includes information about the Trustees and Executive Officers of the State Street Master Funds.

Number of

Funds in

Term of Office

Fund Complex

Name, Address, and

Position(s) Held

and Length of

Principal Occupation

Overseen by

Other Directorships

Year of Birth

with Trust

Time Served

During Past Five Years

Trustee*

Held by Trustee

Independent Trustees

Michael F. Holland
Holland & Company, LLC
375 Park Avenue
New York, NY 10152
1944

Trustee and
Chairman of the Board

Term: Indefinite
Elected: 7/99

Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).

Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund, Inc.

William L. Boyan
State Street Master Funds
P.O. Box 5049
Boston, MA 02206
1937

Trustee

Term: Indefinite
Elected: 7/99

President and Chief Operations Officer, John Hancock Financial Services (1958 – 1997) Mr. Boyan retired in 1997. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1992 – 2007); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010).

Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage.

Rina K. Spence
State Street Master Funds P.O. Box 5049
Boston, MA 02206
1948

Trustee

Term: Indefinite
Elected: 7/99

President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984-1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).

Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

Douglas T. Williams
State Street Master Funds P.O. Box 5049
Boston, MA 02206
1940

Trustee

Term: Indefinite
Elected: 7/99

Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999.

Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust (2002 – 2007).

Interested Trustees**

James E. Ross
SSgA Funds
Management, Inc.
State Street Financial
Center
One Lincoln Street Boston, MA 02111-2900
1965

Trustee President

Term: Indefinite
Elected Trustee: 2/07
Elected President: 4/05

President, SSgA Funds Management Inc. (2005 – present); Senior Managing Director, State Street Global Advisors (2006 – present).

Trustee, State Street Institutional Investment Trust; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; and Trustee, Select Sector SPDR Trust


*		The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust.
**		Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust.


17


		Term of Office
Name, Address,	Position(s) Held	and Length of	Principal Occupation
and Year of Birth	with Trust	Time Served	During Past Five Years

Officers:
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1967	Vice President	Term: Indefinite Elected: 09/09	Senior Managing Director (1992 – present) and Chief Operating Officer (May 2010 – present), SSgA Funds Management, Inc.; Senior Managing Director, State Street Global Advisors (1992 – present).*
Laura F. Dell State Street Bank and	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Trust Company 4 Copley Place 5th floor Boston, MA 02116 1964	Assistant Treasurer	11/08 – 11/10
Chad C. Hallett State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Bank and Trust Company (2001 – present).*
Caroline Connolly State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 -present); Assistant Vice President, Eaton Vance Management (2005 – 2007).
Jacqueline Angell State Street Global Advisors and SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1974	Chief Compliance Officer	Term: Indefinite Elected: 04/11	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (2008 – present); Director of Investment Adviser Oversight, Fidelity Investments (2006 – 2008).
Ryan M. Louvar State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1972	Secretary	Term: Indefinite Elected: 2/12	Vice President and Senior Counsel, State Street Bank and Trust Company (2005 – present).*
Mark E. Tuttle State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1970	Assistant Secretary	Term: Indefinite Elected: 2/12	Vice President and Counsel, State Street Bank and Trust Company (2007 – present); Assistant Counsel, BISYS Group, Inc. (2005 – 2007) (a financial services company).*
Scott E. Habeeb State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 1968	Assistant Secretary	Term: Indefinite Elected: 2/12	Vice President and Counsel, State Street Bank and Trust Company (2007 -present); Legal Analyst, Verizon Communications (2004 – 2007).*


*		Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.


18

Trustees

Michael F. Holland

William L. Boyan

Rina K. Spence

Douglas T. Williams

James E. Ross

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02119

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049


Boston, MA 02206

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.

SSITAREquity500

INTERNATIONAL EQUITY FUNDS

Emerging Markets Fund
Emerging Markets Fund – Select Class
International Stock Selection Fund
International Stock Selection Fund – Class R

Semiannual Report
February 29, 2012

SSgA Funds

International Equity Funds

Semiannual Report

February 29, 2012 (Unaudited)

Table of Contents


		Page

Emerging Markets Fund		3
International Stock Selection Fund		13
Notes to Schedules of Investments		20
Statements of Assets and Liabilities		21
Statements of Operations		22
Statements of Changes in Net Assets		23
Financial Highlights		24
Notes to Financial Statements		26
Shareholder Requests for Additional Information		40
Disclosure of Information about Fund Trustees and Officers		41
Fund Management and Service Providers		45

“SSgA” is a registered trademark of State Street Corporation and is licensed for use by the SSgA Funds.

This page has been intentionally left blank.

SSgA
Emerging Markets Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,024.50	$	1,018.65
Expenses Paid During Period*	$	6.29	$	6.27


*	Expenses are equal to the Fund’s annualized expense ratio of 1.25% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Select Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,025.96	$	1,019.79
Expenses Paid During Period*	$	5.14	$	5.12


*	Expenses are equal to the Fund’s annualized expense ratio of 1.02% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


Emerging Markets Fund		3

This page has been intentionally left blank.

SSgA
Emerging Markets Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 93.8%

Bermuda - 1.4%
COSCO Pacific, Ltd.		5,936,000		9,000
Credicorp, Ltd.		149,543		18,378
GOME Electrical Appliances Holding, Ltd. (Ñ)		13,834,000		4,227

				31,605


Brazil - 14.1%
Banco Bradesco SA - ADR (Ñ)		1,083,187		19,649
Banco do Brasil SA		1,047,805		16,871
BM&FBovespa SA		916,100		6,129
BR Properties SA		466,800		5,994
BRF - Brasil Foods SA (Æ)		477,325		9,979
Cia de Bebidas das Americas - ADR (Ñ)		810,562		32,430
Cia de Saneamento Basico do Estado de Sao Paulo - ADR (Æ)		256,989		19,305
Cia Hering		173,200		4,659
Gafisa SA - ADR (Ñ)		1,331,624		7,390
PDG Realty SA Empreendimentos e Participacoes		1,490,032		6,369
Petroleo Brasileiro SA - ADR (Æ)		2,289,201		66,575
Redecard SA		1,256,700		26,126
Souza Cruz SA		556,100		8,326
Tele Norte Leste Participacoes SA - ADR (Ñ)		516,715		5,549
Tim Participacoes SA		528,607		3,198
Ultrapar Participacoes SA		577,925		13,122
Vale SA Class B - ADR		2,770,877		69,660

				321,331


Cayman Islands - 2.8%
Anta Sports Products, Ltd. (Ñ)		2,030,000		2,256
Dongyue Group (Ñ)		4,500,000		4,624
ENN Energy Holdings, Ltd. (Ñ)		1,532,000		5,264
Evergrande Real Estate Group, Ltd. (Ñ)		18,792,941		11,945
Hengan International Group Co., Ltd.		753,500		6,844
Intime Department Store Group Co., Ltd. (Ñ)		1,840,000		2,289
New Oriental Education & Technology Group - ADR (Æ)(Ñ)		231,512		6,137
Tencent Holdings, Ltd.		842,200		21,934
Tingyi Cayman Islands Holding Corp. (Ñ)		764,000		2,271

				63,564


China - 9.7%
Agricultural Bank of China, Ltd. Class H (Ñ)		7,836,000		3,900
Bank of China, Ltd. Class H		49,402,100		21,528
China Construction Bank Corp. Class H		30,466,169		25,610
China Life Insurance Co., Ltd. Class H (Ñ)		2,278,000		7,107
China Mengniu Dairy Co., Ltd.		1,143,000		3,242
China Minsheng Banking Corp., Ltd. Class H (Ñ)		8,275,000		8,055
China National Building Material Co., Ltd. Class H (Ñ)		2,760,000		3,993
China Petroleum & Chemical Corp. Class H		18,605,000		21,325
China Shanshui Cement Group, Ltd. (Ñ)		4,516,000		4,204
China Telecom Corp., Ltd. Class H		13,382,000		8,178
Dongfeng Motor Group Co., Ltd. Class H (Ñ)		4,460,000		8,752
Guangzhou R&F Properties Co., Ltd. (Ñ)		5,062,400		6,683
Industrial & Commercial Bank of China Class H (Ñ)		39,803,000		29,200
Inner Mongolia Yitai Coal Co. Class B		619,313		3,498
Jiangxi Copper Co., Ltd. Class H (Ñ)		2,167,000		5,965
PetroChina Co., Ltd. Class H		11,102,000		16,804
PICC Property & Casualty Co., Ltd. Class H		6,886,000		9,713
Ping An Insurance Group Co. Class H (Ñ)		820,500		7,178
Shanghai Electric Group Co., Ltd. Class H		6,652,000		3,593
Weichai Power Co., Ltd. Class H (Ñ)		1,126,000		6,213
Yanzhou Coal Mining Co., Ltd. Class H (Ñ)		3,852,000		9,655
Zhaojin Mining Industry Co., Ltd.		1,320,800		2,725
Zhejiang Expressway Co., Ltd. Class H		3,592,000		2,728

				219,849


Cyprus - 0.4%
Globaltrans Investment PLC - GDR		460,284		8,041


Czech Republic - 1.2%
CEZ AS		447,262		19,314
Komercni Banka AS		17,257		3,380
Telefonica Czech Republic AS		190,521		4,144

				26,838


Egypt - 0.0%
Orascom Hotels & Development (Æ)		1		—	±


Emerging Markets Fund		5

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Hong Kong - 4.7%
Agile Property Holdings, Ltd. (Ñ)		4,756,000		6,414
China Mobile, Ltd.		4,330,700		46,260
China Resources Power Holdings Co., Ltd.		1,782,000		3,506
CNOOC, Ltd.		11,835,500		27,162
Lenovo Group, Ltd. (Ñ)		12,006,000		10,634
Shanghai Industrial Holdings, Ltd.		1,224,000		4,442
Shimao Property Holdings, Ltd. (Ñ)		2,570,500		3,354
Soho China, Ltd. (Ñ)		7,800,000		5,692

				107,464


India - 3.3%
ACC, Ltd.		111,597		2,974
Ambuja Cements, Ltd.		711,514		2,334
Axis Bank, Ltd.		59,817		1,437
Bajaj Auto, Ltd.		87,706		3,224
Cairn India, Ltd. (Æ)		102,784		774
Dr Reddy’s Laboratories, Ltd.		32,730		1,097
GAIL India, Ltd.		191,975		1,468
HDFC Bank, Ltd.		536,421		5,660
Hindustan Unilever, Ltd.		469,628		3,643
Housing Development Finance Corp.		378,762		5,125
ICICI Bank, Ltd.		121,182		2,241
IndusInd Bank, Ltd.		225,957		1,440
Infosys, Ltd.		116,751		6,869
ITC, Ltd.		1,097,230		4,649
Jaiprakash Associates, Ltd.		1,364,794		2,118
Kotak Mahindra Bank, Ltd.		140,324		1,568
Larsen & Toubro, Ltd.		56,833		1,517
LIC Housing Finance, Ltd.		294,797		1,566
Mahindra & Mahindra, Ltd.		166,317		2,409
Oil & Natural Gas Corp., Ltd.		408,665		2,445
Reliance Industries, Ltd.		439,750		7,364
State Bank of India		32,818		1,505
Sun Pharmaceutical Industries, Ltd.		230,589		2,590
Tata Consultancy Services, Ltd.		189,385		4,722
Tata Motors, Ltd.		686,187		3,794
Ultratech Cement, Ltd.		41,240		1,183

				75,716


Indonesia - 3.1%
Astra International Tbk PT		1,775,620		13,947
Bank Central Asia Tbk PT		11,697,000		9,856
Bank Mandiri Persero Tbk PT		5,651,000		4,041
Bank Rakyat Indonesia Persero Tbk PT		12,021,500		9,196
Bumi Resources Tbk PT		19,300,500		5,242
Charoen Pokphand Indonesia Tbk PT		13,730,500		4,072
Gudang Garam Tbk PT		496,000		3,121
Perusahaan Gas Negara PT		14,339,500		5,961
Semen Gresik Persero Tbk PT		2,118,500		2,642
Telekomunikasi Indonesia Tbk PT		7,476,000		5,843
United Tractors Tbk PT		2,347,000		7,546

				71,467


Malaysia - 0.9%
AirAsia BHD		695,000		849
Alliance Financial Group BHD		1,007,300		1,305
Berjaya Sports Toto BHD		530,600		776
British American Tobacco Malaysia BHD		72,100		1,256
DiGi.Com BHD - GDR		1,461,200		1,961
Genting BHD - ADR		458,900		1,624
Hong Leong Financial Group BHD		156,100		629
Malayan Banking BHD		951,500		2,779
Petronas Chemicals Group BHD		951,500		2,128
Petronas Gas BHD		115,800		650
RHB Capital BHD		535,800		1,422
Sime Darby BHD		832,300		2,692
Telekom Malaysia BHD		946,400		1,640
Tenaga Nasional BHD		716,100		1,501

				21,212


Mexico - 3.1%
Alfa SAB de CV Class A (Ñ)		524,600		7,008
America Movil SAB de CV - ADR		1,049,875		25,134
Fomento Economico Mexicano SAB de CV - ADR		128,300		9,443
Grupo Financiero Banorte SAB de CV Class O		1,317,070		5,389
Grupo Mexico SAB de CV		3,556,068		11,213
Grupo Televisa SAB - ADR		85,432		1,822
Industrias Penoles SAB de CV (Ñ)		153,065		7,598
Wal-Mart de Mexico SAB de CV		1,124,000		3,507

				71,114


Nigeria - 0.0%
Guaranty Trust Bank PLC - GDR (λ)		229,606		1,023


Peru - 0.8%
Cia de Minas Buenaventura SA - ADR		431,633		17,321


Philippines - 1.5%
Aboitiz Power Corp.		3,467,900		2,596
Ayala Land, Inc.		2,995,900		1,436
Bank of the Philippine Islands		2,278,128		3,554
Energy Development Corp.		25,029,200		3,191
First Philippine Holdings Corp.		1,033,050		1,487
Metro Pacific Investments Corp.		15,852,870		1,301
Metropolitan Bank & Trust - ADR		2,139,328		4,053
Philippine Long Distance Telephone Co. - ADR		58,131		3,835


6		Emerging Markets Fund

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
SM Investments Corp.		443,272		6,609
SM Prime Holdings, Inc.		9,139,000		3,497
Universal Robina Corp.		1,643,251		2,037

				33,596


Poland - 1.4%
Bank Pekao SA		55,353		2,759
KGHM Polska Miedz SA		184,965		8,794
PGE SA		863,617		5,533
Polski Koncern Naftowy Orlen S.A. (Æ)		189,320		2,171
Powszechny Zaklad Ubezpieczen SA		70,549		7,626
Tauron Polska Energia SA		942,079		1,551
Telekomunikacja Polska SA		433,907		2,379

				30,813


Russia - 8.7%
Federal Grid Co. Unified Energy System JSC Class T		10		—	±
Gazprom OAO - ADR (Æ)		4,943,844		65,506
Gazprom OAO - ADR		310,683		4,101
Lukoil OAO		218,694		14,045
Lukoil OAO - ADR (Æ)		206,897		13,190
Mobile Telesystems OJSC - ADR (Ñ)		426,800		7,789
NovaTek OAO - GDR		84,271		12,228
Rosneft Oil Co. Class T		1,743,874		13,486
Sberbank of Russia		9,220,595		31,612
Severstal OAO		710,843		10,901
Sistema JSFC - GDR		419,474		9,145
Tatneft - ADR		261,595		10,456
Uralkali OJSC - GDR		141,103		5,736

				198,195


South Africa - 7.4%
African Bank Investments, Ltd.		1,177,584		6,159
AngloGold Ashanti, Ltd. (Ñ)		64,258		2,787
Barloworld, Ltd. - ADR		532,498		6,323
Exxaro Resources, Ltd. (Ñ)		197,500		5,548
FirstRand, Ltd.		1,293,156		4,114
Gold Fields, Ltd. - ADR (Ñ)		524,348		8,293
Growthpoint Properties, Ltd. (Ñ)		1,509,548		4,130
Impala Platinum Holdings, Ltd. (Ñ)		169,084		3,761
Imperial Holdings, Ltd.		185,191		3,633
Investec, Ltd. (Ñ)		463,804		3,042
Kumba Iron Ore, Ltd. (Ñ)		205,699		15,629
Liberty Holdings, Ltd.		156,064		1,857
Life Healthcare Group Holdings, Ltd.		1,142,248		3,307
MMI Holdings, Ltd.		978,880		2,486
MTN Group, Ltd. (Ñ)		858,648		15,465
Naspers, Ltd. Class N (Ñ)		82,111		4,557
Nedbank Group, Ltd.		132,117		2,825
Pretoria Portland Cement Co., Ltd.		621,726		2,615
Remgro, Ltd.		228,342		4,047
Sanlam, Ltd.		1,132,172		4,651
Sasol, Ltd. - ADR		517,766		27,560
Shoprite Holdings, Ltd. - ADR		209,459		3,792
Standard Bank Group, Ltd.		501,745		7,385
Steinhoff International Holdings, Ltd. (Æ)(Ñ)		421,994		1,508
Telkom SA, Ltd.		936,166		3,220
Tiger Brands, Ltd.		210,373		7,295
Truworths International, Ltd.		374,286		4,027
Vodacom Group, Ltd. - ADR		274,845		3,787
Woolworths Holdings, Ltd.		626,816		3,765

				167,568


South Korea - 13.3%
CJ CheilJedang Corp. (Ñ)		16,734		4,809
Daelim Industrial Co., Ltd.		76,026		8,563
DGB Financial Group, Inc.		179,290		2,412
Dongbu Insurance Co., Ltd.		179,283		7,828
Doosan Corp.		8,808		1,350
GS Holdings		65,454		3,780
Hana Financial Group, Inc.		295,215		10,410
Honam Petrochemical Corp. (Æ)(Ñ)		19,474		6,162
Hotel Shilla Co., Ltd.		83,150		3,159
Hyundai Department Store Co., Ltd. (Ñ)		39,528		5,901
Hyundai Glovis Co., Ltd.		18,520		3,071
Hyundai Heavy Industries Co., Ltd.		10,178		3,089
Hyundai Marine & Fire Insurance Co., Ltd.		222,740		6,431
Hyundai Mobis		34,896		8,890
Hyundai Motor Co.		156,185		30,156
Hyundai Steel Co.		34,664		3,548
Industrial Bank of Korea (Æ)		680,320		7,905
KCC Corp.		13,246		4,251
KT Corp.		107,800		3,141
KT&G Corp.		209,830		13,729
LG Chem, Ltd.		37,349		13,304
LG Corp. Class H		120,639		7,538
POSCO		46,596		17,327
Samsung Electronics Co., Ltd.		73,870		79,633
Samsung Heavy Industries Co., Ltd. (Ñ)		250,090		9,110
Shinhan Financial Group Co., Ltd.		271,928		10,525
SK Holdings Co., Ltd.		74,204		11,243
SK Innovation Co., Ltd.		24,338		4,035
SK Telecom Co., Ltd.		61,945		8,056
Woori Finance Holdings Co., Ltd. (Æ)		354,680		3,884

				303,240


Emerging Markets Fund		7

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Taiwan - 7.9%
Acer, Inc.		3,956,112		6,056
Advanced Semiconductor Engineering, Inc.		8,034,971		7,872
Asia Cement Corp.		2,318,805		2,970
China Steel Corp. Class H		4,522,365		4,692
Chinatrust Financial Holding Co., Ltd.		9,747,089		6,631
Chipbond Technology Corp.		3,846,000		4,658
Chunghwa Telecom Co., Ltd.		2,039,082		6,271
Compal Electronics, Inc.		5,160,000		6,109
Coretronic Corp.		2,095,000		1,839
Epistar Corp.		1,122,000		2,939
Far Eastern New Century Corp.		2,389,913		3,069
Farglory Land Development Co., Ltd.		986,000		2,100
Formosa Chemicals & Fibre Corp.		2,077,000		6,500
Formosa Plastics Corp.		4,022,420		12,589
Fubon Financial Holding Co., Ltd.		6,440,654		7,581
Highwealth Construction Corp.		1,295,000		2,423
Hon Hai Precision Industry Co., Ltd.		2,188,975		7,633
HTC Corp.		397,957		8,948
KGI Securities Co., Ltd.		5,092,000		2,286
Lite-On Technology Corp.		2,539,000		3,450
Mega Financial Holding Co., Ltd.		9,752,800		7,598
Pou Chen Corp. Class B		4,833,630		4,292
Silitech Technology Corp.		1,490,909		4,159
Taiwan Mobile Co., Ltd. (Æ)		994,382		3,058
Taiwan Semiconductor Manufacturing Co., Ltd.		12,539,782		34,596
Tripod Technology Corp.		1,587,330		4,941
Unimicron Technology Corp.		3,554,000		4,655
Uni-President Enterprises Corp.		1,032,578		1,582
United Microelectronics Corp.		13,189,000		6,954
Wafer Works Corp.		1		—	±

				178,451


Thailand - 3.3%
Advanced Info Service PCL		1,884,567		9,963
Bangkok Bank PCL		1,835,700		10,979
CP ALL PCL		4,779,600		10,463
Kasikornbank PCL		1,817,000		8,795
Kasikornbank PCL Class R		414,800		2,035
PTT Global Chemical PCL		2,352,167		5,790
PTT PCL		1,171,633		14,053
Siam Cement PCL		54,800		646
Siam Commercial Bank PCL		296,200		1,272
Thai Oil PCL		4,327,600		10,867

				74,863


Turkey - 1.3%
Anadolu Efes Biracilik Ve Malt Sanayii AS		34,365		521
Arcelik AS		387,893		1,783
BIM Birlesik Magazalar AS		18,592		654
Ford Otomotiv Sanayi AS		90,226		848
Haci Omer Sabanci Holding AS		749,743		3,240
Koza Altin Isletmeleri AS		139,613		2,769
Tupras Turkiye Petrol Rafinerileri AS		160,929		3,974
Turk Telekomunikasyon AS		433,653		1,859
Turk Traktor ve Ziraat Makineleri AS		58,703		1,272
Turkiye Garanti Bankasi AS		1,872,060		7,106
Turkiye Halk Bankasi AS		496,370		3,419
Turkiye Sise ve Cam Fabrikalari AS		775,497		1,574

				29,019


United Kingdom - 0.1%
British American Tobacco PLC		56,698		2,853


United States - 3.4%
Southern Copper Corp. (Ñ)		529,553		17,030
Vanguard MSCI Emerging Markets ETF		1,336,000		59,626

				76,656


Total Common Stocks (cost $1,473,380)				2,131,799


Preferred Stocks - 4.4%

Brazil - 3.1%
Banco do Estado do Rio Grande do Sul		634,160		7,556
Braskem SA		1,023,214		9,283
Centrais Eletricas Brasileiras SA (Æ)		306,853		4,668
Investimentos Itau SA		693,811		4,848
Itau Unibanco Holding SA		1,294,811		27,747
Klabin SA		1,061,925		5,281
Telefonica Brasil SA		406,367		12,163

				71,546


Russia - 0.4%
AK Transneft OAO		4,825		8,999


South Korea - 0.9%
Hyundai Motor Co.		82,865		4,719
Samsung Electronics Co., Ltd.		23,629		14,806

				19,525


Total Preferred Stocks (cost $56,708)				100,070


8		Emerging Markets Fund

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Certificates of Participation - 0.9%

Curacao - 0.9%
MSCI Daily Trust Net Emerging Markets India USD (Æ) 2012 Warrants		45,998		20,934


Total Certificates of Participation (cost $25,032)				20,934


Short-Term Investments - 0.4%

United States - 0.4%
SSgA Prime Money Market Fund		10,157,398		10,157


Total Short-Term Investments (cost $10,157)				10,157


Other Securities - 6.6%
State Street Navigator Securities Lending Prime Portfolio (X)		149,353,400		149,353


Total Other Securities (cost $149,353)				149,353


Total Investments - 106.1% (identified cost $1,714,630)				2,412,313

Other Assets and Liabilities, Net - (6.1%)				(138,814	)


Net Assets - 100.0%				2,273,499

Amounts in thousands (except contract amounts)

Unrealized Appreciation

Number of

Expiration

(Depreciation)

Futures Contracts

Contracts

Notional Amount

Date

Long Positions

MSCI Taiwan Index Futures

117

USD

3,375

03/12

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

See accompanying notes which are an integral part of the financial statements.


Emerging Markets Fund		9

SSgA
Emerging Markets Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)

Amounts in thousands

Foreign Currency Exchange Contracts

Unrealized Appreciation

Amount

Settlement

(Depreciation)

Counterparty

Sold

Bought

Date

Citibank

USD

2,994

TWD 88,566

03/16/12

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts


	% of			Market
	Net			Value
Sector Exposure	Assets			$
Consumer Discretionary		5.9			134,309
Consumer Staples		5.7			129,602
Energy		14.1			321,803
Financials		27.6			627,628
Health Care		0.6			13,838
Industrials		2.8			62,976
Information Technology		10.1			228,600
Materials		15.8			358,716
Telecommunication Services		8.0			181,699
Utilities		3.2			72,628
Preferred Stocks		4.4			100,070
Certificates of Participation		0.9			20,934
Short-Term Investments		0.4			10,157
Other Securities		6.6			149,353

Total Investments		106.1			2,412,313
Other Assets and Liabilities, Net		(6.1	)		(138,814	)


		100.0			2,273,499

See accompanying notes which are an integral part of the financial statements.


10		Emerging Markets Fund

SSgA
Emerging Markets Fund


Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)

Amounts in thousands
									% of
	Market Value								Net
Portfolio Summary	Level 1		Level 2		Level 3		Total		Assets
Common Stocks
Bermuda	$	31,605	$	—	$	—	$	31,605		1.4
Brazil		321,331		—		—		321,331		14.1
Cayman Islands		63,564		—		—		63,564		2.8
China		219,849		—		—		219,849		9.7
Cyprus		8,041		—		—		8,041		0.4
Czech Republic		26,838		—		—		26,838		1.2
Egypt		—		—		—		—		—	*
Hong Kong		107,464		—		—		107,464		4.7
India		75,716		—		—		75,716		3.3
Indonesia		71,467		—		—		71,467		3.1
Malaysia		21,212		—		—		21,212		0.9
Mexico		71,114		—		—		71,114		3.1
Nigeria		1,023		—		—		1,023		—	*
Peru		17,321		—		—		17,321		0.8
Philippines		33,596		—		—		33,596		1.5
Poland		30,813		—		—		30,813		1.4
Russia		198,195		—		—		198,195		8.7
South Africa		167,568		—		—		167,568		7.4
South Korea		303,240		—		—		303,240		13.3
Taiwan		178,451		—		—		178,451		7.9
Thailand		74,863		—		—		74,863		3.3
Turkey		29,019		—		—		29,019		1.3
United Kingdom		2,853		—		—		2,853		0.1
United States		76,656		—		—		76,656		3.4
Preferred Stocks		100,070		—		—		100,070		4.4
Certificates of Participation		—		20,934		—		20,934		0.9
Short-Term Investments		10,157		—		—		10,157		0.4
Other Securities		—		149,353		—		149,353		6.6

Total Investments	$	2,242,026	$	170,287	$	—	$	2,412,313		106.1

Other Assets and Liabilities, Net										(6.1	)

										100.0

Other Financial Instruments
Futures Contracts		73		—		—		73		—	*
Foreign Currency Exchange Contracts		—		20		—		20		—	*

Total Other Financial Instruments**	$	73	$	20	$	—	$	93


*		Less than .05% of net assets.
**		Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation(depreciation) on the instruments.

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


Emerging Markets Fund		11

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SSgA
International Stock Selection Fund

Shareholder Expense Example — February 29, 2012 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


			Hypothetical
			Performance
	Actual		(5% return
Institutional Class	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,036.97	$	1,019.89
Expenses Paid During Period*	$	5.06	$	5.02


*	Expenses are equal to the Fund’s annualized expense ratio of 1.00% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


			Hypothetical
			Performance
	Actual		(5% return
Class R	Performance		before expenses)

Beginning Account Value September 1, 2011	$	1,000.00	$	1,000.00
Ending Account Value February 29, 2012	$	1,034.36	$	1,017.75
Expenses Paid During Period*	$	7.23	$	7.17


*	Expenses are equal to the Fund’s annualized expense ratio of 1.43% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Includes amounts waived and/or reimbursed by the investment advisor. Without the waiver and/or reimbursement, expenses would have been higher.


International Stock Selection Fund		13

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SSgA
International Stock Selection Fund

Schedule of Investments — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$

Common Stocks - 99.4%

Australia - 9.4%
Australia & New Zealand Banking Group, Ltd. - ADR		168,931		3,977
BHP Billiton, Ltd. - ADR		55,693		2,156
BlueScope Steel, Ltd. (Æ)		2,150,140		968
Boral, Ltd. (Ñ)		666,814		3,147
Caltex Australia, Ltd.		241,214		3,560
Computershare, Ltd. (Ñ)		190,606		1,582
Goodman Group (ö)		4,925,964		3,645
GPT Group (Ñ) (ö)		426,469		1,427
Incitec Pivot, Ltd.		1,562,455		5,463
OZ Minerals, Ltd.		301,860		3,545
Rio Tinto, Ltd. - ADR (Ñ)		117,870		8,526
Stockland (ö)		1,634,910		5,558
TABCORP Holdings, Ltd.		500,210		1,464
Telstra Corp., Ltd.		247,400		876
Westfield Group (ö)		359,042		3,385
Westfield Retail Trust (ö)		419,159		1,128
Westpac Banking Corp. (Ñ)		245,244		5,497

				55,904


Austria - 0.8%
Erste Group Bank AG		32,969		827
OMV AG		101,763		3,787

				4,614


Belgium - 0.8%
Delhaize Group SA		92,330		5,075


Denmark - 2.3%
Carlsberg A/S Class B		30,123		2,371
Novo Nordisk A/S Class B		82,443		11,561

				13,932


Finland - 2.0%
Metso OYJ		22,591		1,073
Outokumpu OYJ (Ñ)		278,097		1,934
Stora Enso OYJ Class R		335,886		2,522
UPM-Kymmene OYJ		447,373		6,169

				11,698


France - 12.1%
AXA SA		346,871		5,594
BNP Paribas SA		158,386		7,731
Cie de St.-Gobain		72,257		3,431
Cie Generale de Geophysique - Veritas (Æ)		122,170		3,775
Cie Generale des Etablissements Michelin Class B		22,835		1,575
Credit Agricole SA		206,560		1,323
France Telecom SA - ADR		90,840		1,386
L’Oreal SA		87,026		9,926
Pernod-Ricard SA		31,619		3,272
Peugeot SA		54,072		1,084
Renault SA		78,895		4,177
Sanofi - ADR		135,510		10,022
SCOR SE - ADR		118,621		3,139
Societe Generale SA		34,302		1,108
Total SA (Ñ)		179,103		10,020
Veolia Environnement SA		73,094		894
Vinci SA		26,873		1,399
Vivendi SA - ADR		105,368		2,263

				72,119


Germany - 6.6%
Allianz SE		83,832		10,167
BASF SE		18,913		1,660
Deutsche Bank AG		82,455		3,851
Deutsche Lufthansa AG		260,614		3,618
E.ON AG		257,963		5,934
Leoni AG (Ñ)		85,400		4,283
RWE AG		49,234		2,243
Salzgitter AG		48,668		2,979
Siemens AG		46,790		4,667

				39,402


Hong Kong - 1.1%
Cathay Pacific Airways, Ltd. (Ñ)		2,831,000		5,621
Cheung Kong Holdings, Ltd.		81,000		1,184

				6,805


Italy - 5.1%
Enel SpA		1,824,131		7,320
ENI SpA - ADR		301,084		6,943
Fiat Industrial SpA Class A (Æ)		208,551		2,223
Fiat SpA (Ñ)		490,940		2,840
Intesa Sanpaolo SpA		2,306,102		4,489
Telecom Italia SpA		5,494,696		6,332

				30,147


Japan - 21.2%
Asahi Glass Co., Ltd.		677,000		6,080
Canon, Inc.		90,100		4,079
Chubu Electric Power Co., Inc.		129,800		2,381
Daicel Chemical Industries, Ltd.		229,000		1,493
Daiichi Sankyo Co., Ltd.		91,100		1,673
Daiwa House Industry Co., Ltd.		384,000		4,955
Eisai Co., Ltd. (Ñ)		157,600		6,379
FUJIFILM Holdings Corp.		146,100		3,697
Fujitsu, Ltd.		337,000		1,828
Hitachi, Ltd.		737,000		4,288


International Stock Selection Fund		15

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
JFE Holdings, Inc.		78,100		1,682
KDDI Corp. (Ñ)		147		933
Konica Minolta Holdings, Inc.		476,500		4,021
Marubeni Corp.		492,000		3,517
Mitsubishi Electric Corp.		420,000		3,767
Mitsubishi UFJ Financial Group, Inc.		2,068,700		10,688
Mitsui & Co., Ltd.		92,000		1,583
Mizuho Financial Group, Inc. (Ñ)		1,978,700		3,310
Nippon Telegraph & Telephone Corp.		62,000		2,925
Nissan Motor Co., Ltd.		413,600		4,233
NTT DoCoMo, Inc. (Ñ)		390		666
ORIX Corp. (Ñ)		53,300		5,134
Osaka Gas Co., Ltd.		114,000		438
Pioneer Corp. (Æ)(Ñ)		872,900		4,456
Sega Sammy Holdings, Inc.		36,900		700
Sekisui Chemical Co., Ltd.		176,000		1,511
Softbank Corp.		229,100		6,823
Sumitomo Corp.		148,100		2,195
Sumitomo Mitsui Financial Group, Inc. (Ñ)		302,200		10,249
Sumitomo Rubber Industries, Ltd.		458,300		5,768
Suzuki Motor Corp.		129,200		3,063
Tohoku Electric Power Co., Inc.		64,300		756
Toppan Printing Co., Ltd. (Ñ)		475,000		3,734
Toshiba Corp.		701,000		3,070
Toyota Tsusho Corp.		99,600		1,998
Yamada Denki Co., Ltd.		34,910		2,263

				126,336


Jersey - 0.6%
Experian PLC		45,672		687
WPP PLC		220,197		2,815

				3,502


Luxembourg - 0.5%
ArcelorMittal		146,066		3,079


Mauritius - 0.5%
Golden Agri-Resources, Ltd.		4,781,000		2,791


Netherlands - 2.8%
ING Groep NV (Æ)		588,414		5,219
Koninklijke Ahold NV		139,390		1,928
Koninklijke DSM NV		39,809		2,214
Koninklijke Philips Electronics NV		198,284		4,162
STMicroelectronics NV Class Y		403,355		3,010

				16,533


Norway - 2.8%
DNB ASA		366,238		4,701
Marine Harvest ASA		6,193,732		3,325
Statoil ASA Class N		295,551		8,460

				16,486


Singapore - 2.0%
Singapore Airlines, Ltd.		252,000		2,220
Yangzijiang Shipbuilding Holdings, Ltd.		8,854,000		9,628

				11,848


Spain - 4.3%
Banco Bilbao Vizcaya Argentaria SA - ADR		243,100		2,180
Banco Santander SA - ADR		825,471		6,848
Gas Natural SDG SA		375,460		6,353
Inditex SA		20,048		1,851
Repsol YPF SA - ADR		321,146		8,373

				25,605


Sweden - 1.3%
SSAB AB Class A		241,162		2,528
Trelleborg AB Class B		229,271		2,458
Volvo AB Class B		182,968		2,670

				7,656


Switzerland - 6.2%
Cie Financiere Richemont SA		36,517		2,242
Clariant AG (Æ)		377,206		5,274
Credit Suisse Group AG (Æ)		89,338		2,401
Nestle SA		223,886		13,685
Roche Holding AG		52,598		9,157
Swatch Group AG (The) Class B		5,548		2,515
UBS AG (Æ)		101,390		1,418

				36,692


United Kingdom - 17.0%
ARM Holdings PLC		195,627		1,772
AstraZeneca PLC - ADR (Æ)		195,989		8,754
Aviva PLC		1,193,547		6,993
BAE Systems PLC		195,888		975
Barclays PLC		1,111,883		4,334
BHP Billiton PLC		145,716		4,723
BP PLC		437,857		3,430
British American Tobacco PLC		85,103		4,301
Diageo PLC		170,873		4,087
HSBC Holdings PLC		707,858		6,253
Intercontinental Hotels Group PLC		78,329		1,787
ITV PLC		1,432,191		1,958
Kingfisher PLC		1,624,659		7,346
Legal & General Group PLC		1,540,426		2,960


16		International Stock Selection Fund

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands (except share amounts)
	Principal		Market
	Amount ($)		Value
	or Shares		$
Meggitt PLC		270,948		1,666
Pearson PLC		78,872		1,505
Rexam PLC		144,902		957
Rio Tinto PLC (Æ)		28,683		1,635
Royal Bank of Scotland Group PLC - ADR (Æ)		3,110,131		1,381
Royal Dutch Shell PLC Class A		137,023		4,996
SABMiller PLC - ADR		108,214		4,386
Sage Group PLC (The)		261,987		1,295
Smith & Nephew PLC		297,469		2,925
Tate & Lyle PLC		371,940		4,127
Tesco PLC		945,340		4,754
Vodafone Group PLC - ADR (Æ)		2,840,150		7,652
Xstrata PLC		227,639		4,346

				101,298


Total Common Stocks (cost $544,889)				591,522


Short-Term Investments - 0.2%

United States - 0.2%
SSgA Prime Money Market Fund		1,422,142		1,422


Total Short-Term Investments (cost $1,422)				1,422


Other Securities - 5.8%
State Street Navigator Securities Lending Prime Portfolio (X)		34,593,561		34,594


Total Other Securities (cost $34,594)				34,594


Total Investments - 105.4% (identified cost $580,905)				627,538

Other Assets and Liabilities, Net - (5.4%)				(32,379	)


Net Assets - 100.0%				595,159

See accompanying notes which are an integral part of the financial statements.


International Stock Selection Fund		17

SSgA
International Stock Selection Fund

Schedule of Investments, continued — February 29, 2012 (Unaudited)


Amounts in thousands

	% of			Market
	Net			Value
Sector Exposure	Assets			$
Consumer Discretionary		12.5			74,309
Consumer Staples		10.8			64,027
Energy		9.0			53,344
Financials		24.0			143,057
Health Care		8.5			50,469
Industrials		10.1			60,316
Information Technology		4.2			25,086
Materials		11.3			67,002
Telecommunication Services		4.6			27,593
Utilities		4.4			26,319
Short-Term Investments		0.2			1,422
Other Securities		5.8			34,594

Total Investments		105.4			627,538
Other Assets and Liabilities, Net		(5.4	)		(32,379	)


		100.0			595,159

See accompanying notes which are an integral part of the financial statements.


18		International Stock Selection Fund

SSgA
International Stock Selection Fund

Presentation of Portfolio Holdings — February 29, 2012 (Unaudited)


Amounts in thousands
									% of
	Market Value								Net
Portfolio Summary	Level 1		Level 2		Level 3		Total		Assets
Common Stocks
Australia	$	55,904	$	—	$	—	$	55,904		9.4
Austria		4,614		—		—		4,614		0.8
Belgium		5,075		—		—		5,075		0.8
Denmark		13,932		—		—		13,932		2.3
Finland		11,698		—		—		11,698		2.0
France		72,119		—		—		72,119		12.1
Germany		39,402		—		—		39,402		6.6
Hong Kong		6,805		—		—		6,805		1.1
Italy		30,147		—		—		30,147		5.1
Japan		126,336		—		—		126,336		21.2
Jersey		3,502		—		—		3,502		0.6
Luxembourg		3,079		—		—		3,079		0.5
Mauritius		2,791		—		—		2,791		0.5
Netherlands		16,533		—		—		16,533		2.8
Norway		16,486		—		—		16,486		2.8
Singapore		11,848		—		—		11,848		2.0
Spain		25,605		—		—		25,605		4.3
Sweden		7,656		—		—		7,656		1.3
Switzerland		36,692		—		—		36,692		6.2
United Kingdom		101,298		—		—		101,298		17.0
Short-Term Investments		1,422		—		—		1,422		0.2
Other Securities		—		34,594		—		34,594		5.8

Total Investments	$	592,944	$	34,594	$	—	$	627,538		105.4

Other Assets and Liabilities, Net										(5.4	)

										100.0

For a description of the levels see note 2 in the Notes to Financial Statements.

See accompanying notes which are an integral part of the financial statements.


International Stock Selection Fund		19

SSgA
International Equity Funds

Notes to Schedules of Investments — February 29, 2012 (Unaudited)

Footnotes:


(Æ)		Non-income producing security.
(ö)		Real Estate Investment Trust (REIT).
(X)		Affiliate; the security is purchased with the cash collateral from the securities loaned.
(Ñ)		All or a portion of the shares of this security are on loan.
(λ)		Restricted security (144A) or 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction, and may not be registered under the Securities Act of 1933.
±		Less than $500.

Abbreviations:

ADR - American Depositary Receipt
GDR - Global Depositary Receipt


20		Notes to Schedules of Investments

SSgA
International Equity Funds

Statements of Assets and Liabilities — February 29, 2012 (Unaudited)


	Emerging			International
Amounts in thousands	Markets Fund			Stock Selection Fund

Assets
Investments, at identified cost	$	1,714,630		$	580,905

Investments, at market		2,412,313			627,538
Cash (restricted)		303			—
Foreign currency holdings		1,986			929
Unrealized appreciation on foreign currency exchange contracts		20			—
Receivables:
Dividends and interest		5,762			1,658
Investments sold		16,636			—
Fund shares sold		5,530			591
Foreign taxes recoverable		—			372
From affiliates		273			337
Daily variation margin on futures contracts		73			65
Prepaid expenses		57			11

Total assets		2,442,953			631,501


Liabilities
Payables:
Due to broker		35			—
Investments purchased		12,837			—
Fund shares redeemed		2,289			1,050
Accrued fees to affiliates		2,209			612
Other accrued expenses		37			86
Deferred tax liability		2,694			—
Other payable		—			—
Unrealized depreciation on foreign currency exchange contracts		—			—
Payable upon return of securities loaned		149,353			34,594

Total liabilities		169,454			36,342



Net Assets	$	2,273,499		$	595,159


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	(10,078	)	$	(4,291	)
Accumulated net realized gain (loss)		(93,505	)		(629,745	)
Unrealized appreciation (depreciation) on:
Investments		694,989			46,633
Futures contracts Shares outs		73			—
Foreign currency-related transactions		156			(8	)
Shares of beneficial interest		108			65
Additional paid-in capital		1,681,756			1,182,505

Net Assets	$	2,273,499		$	595,159




Net Asset Value, offering and redemption price per share:
Net asset value per share: Institutional Class (a)	$	20.98		$	9.22
Net assets	$	1,639,956,672		$	593,187,597
Shares outstanding ($.001 par value)		78,160,241			64,359,035
Net asset value per share: Class R (a)	$	—		$	9.16
Net assets	$	—		$	1,971,191
Shares outstanding ($.001 par value)		—			215,182
Net asset value per share: Select Class (a)	$	21.05		$	—
Net assets	$	633,542,747		$	—
Shares outstanding ($.001 par value)		30,097,474			—


Amounts in thousands
*	Securities on loan included in investments	$	141,566	$	32,730
**	Investments in Affiliates	$	10,157	$	1,422
***	Foreign currency holdings - cost	$	1,982	$	939
(a)	Net asset value per share equals class level net assets divided by class level shares of beneficial interest outstanding.

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities		21

SSgA
International Equity Funds

Statements of Operations — For the Period Ended February 29, 2012 (Unaudited)


	Emerging			International
Amounts in thousands	Markets Fund			Stock Selection Fund

Investment Income
Dividends	$	18,711		$	8,376
Dividends from affiliated money market funds		3			—
Interest		6			1
Securities lending income		390			170
Less foreign taxes withheld		(1,721	)		(710	)

Total investment income		17,389			7,837


Expenses
Advisory fees		7,586			2,500
Administrative fees		593			197
Custodian fees		1,689			218
Distribution fees - Institutional Class		1,359			712
Distribution fees - Class R		—			2
Transfer agent fees		377			185
Professional fees		36			26
Registration fees		48			22
Shareholder servicing fees - Institutional Class		404			119
Shareholder servicing fees - Class R		—			5
Shareholder servicing fees - Select Class		77			—
Trustees’ fees		44			19
Insurance fees		24			9
Printing fees		94			73
Miscellaneous		8			6

Expenses before reductions		12,339			4,093
Expense reductions		(389	)		(756	)

Net expenses		11,950			3,337

Net investment income (loss)		5,439			4,500


Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign capital gains taxes)		7,511			(45,724	)
Futures contracts		1,091			35
Foreign currency-related transactions		(1,471	)		(130	)

Net realized gain (loss)		7,131			(45,819	)

Net change in unrealized appreciation (depreciation) on:
Investments (Emerging Markets Fund - net of deferred tax liability for foreign capital gains taxes)		47,019			56,055
Futures contracts		73			—
Foreign currency-related transactions		170			(69	)

Net change in unrealized appreciation (depreciation)		47,262			55,986


Net realized and unrealized gain (loss)		54,393			10,167

Net Increase (Decrease) in Net Assets from Operations	$	59,832		$	14,667

See accompanying notes which are an integral part of the financial statements.


22		Statements of Operations

SSgA
International Equity Funds

Statements of Changes in Net Assets — For the Periods Ended


	Emerging Markets Fund						International Stock Selection Fund
	Six Months Ended						Six Months Ended
	February 29, 2012			Fiscal Year Ended			February 29, 2012			Fiscal Year Ended
Amounts in thousands	(Unaudited)			August 31, 2011			(Unaudited)			August 31, 2011

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	5,439		$	33,252		$	4,500		$	21,676
Net realized gain (loss)		7,131			288,553			(45,819	)		135,439
Net change in unrealized appreciation (depreciation)		47,262			(64,668	)		55,986			(43,122	)

Net increase (decrease) in net assets from operations		59,832			257,137			14,667			113,993


Distributions
From net investment income
Institutional Class		(22,434	)		(27,225	)		(26,998	)		(27,740	)
Class R		—			—			(62	)		(49	)
Select Class		(11,370	)		(20,095	)		—			—

Net decrease in net assets from distributions		(33,804	)		(47,320	)		(27,060	)		(27,789	)


Share Transactions
Net increase (decrease) in net assets from share transactions		80,333			(325,749	)		(160,470	)		(376,300	)


Total Net Increase (Decrease) in Net Assets		106,361			(115,932	)		(172,863	)		(290,096	)

Net Assets
Beginning of period		2,167,138			2,283,070			768,022			1,058,118


End of period	$	2,273,499		$	2,167,138		$	595,159		$	768,022


Undistributed (overdistributed) net investment income included in net assets	$	(10,078	)	$	18,287		$	(4,291	)	$	18,269

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets		23

SSgA
International Equity Funds

Financial Highlights — For the Periods Ended
For a Share Outstanding Throughout Each Period.


	$		$		$			$			$			$
	Net Asset Value,		Net		Net Realized			Total from			Distributions			Distributions
	Beginning of		Investment		and Unrealized			Investment			from Net			from Net
	Period		Income (Loss)(a)		Gain (Loss)			Operations			Investment Income			Realized Gain
Emerging Markets Fund

Institutional Class
February 29, 2012*		20.81		.03		.44			.47			(.30	)		—
August 31, 2011		19.20		.29		1.70			1.99			(.38	)		—
August 31, 2010		16.61		.17		2.81			2.98			(.39	)		—
August 31, 2009		22.72		.27		(4.71	)		(4.44	)		—			(1.67	)
August 31, 2008		28.86		.40		(3.59	)		(3.19	)		(.92	)		(2.03	)
August 31, 2007		21.18		.33		8.79			9.12			(.33	)		(1.11	)

Select Class
February 29, 2012*		20.90		.05		.44			.49			(.34	)		—
August 31, 2011		19.28		.31		1.73			2.04			(.42	)		—
August 31, 2010		16.67		.21		2.82			3.03			(.42	)		—
August 31, 2009		22.75		.30		(4.71	)		(4.41	)		—			(1.67	)
August 31, 2008		28.89		.46		(3.59	)		(3.13	)		(.98	)		(2.03	)
August 31, 2007		21.20		.39		8.79			9.18			(.38	)		(1.11	)

International Stock Selection Fund

Institutional Class
February 29, 2012*		9.24		.06		.25			.31			(.33	)		—
August 31, 2011		8.81		.23		.46			.69			(.26	)		—
August 31, 2010		9.24		.18		(.33	)		(.15	)		(.28	)		—
August 31, 2009		11.79		.24		(2.57	)		(2.33	)		(.22	)		—
August 31, 2008		14.71		.27		(2.52	)		(2.25	)		(.33	)		(.34	)
August 31, 2007		12.88		.33		2.05			2.38			(.19	)		(.36	)

Class R
February 29, 2012*		9.16		.04		.25			.29			(.29	)		—
August 31, 2011		8.74		.19		.44			.63			(.21	)		—
August 31, 2010		9.17		.15		(.33	)		(.18	)		(.25	)		—
August 31, 2009		11.68		.21		(2.55	)		(2.34	)		(.17	)		—
August 31, 2008		14.60		.27		(2.55	)		(2.28	)		(.30	)		(.34	)
August 31, 2007		12.80		.28		2.01			2.29			(.13	)		(.36	)


*		For six months ended February 29, 2012 (Unaudited).
(a)		Average daily shares outstanding were used for this calculation
(b)		May reflect amounts waived and/or reimbursed by the investment advisor and doe certain funds, custody credit arrangements. The custody credit arrangements had an impact of less than .005%.

See accompanying notes which are an integral part of the financial statements.


24		Financial Highlights


										%		%		%
			$					$		Ratio of Expenses		Ratio of Expenses		Ratio of Net
$			Net Asset Value,		%			Net Assets,		to Average		to Average		Investment Income		%
Total			End of		Total			End of Period		Net Assets,		Net Assets,		to Average		Portfolio
Distributions			Period		Return			(000)		Net(b)		Gross		Net Assets(b)		Turnover Rate



	(.30	)		20.98		2.45			1,639,957		1.25		1.28		.31		32
	(.38	)		20.81		10.25			1,451,810		1.25		1.26		1.29		50
	(.39	)		19.20		17.98			1,328,720		1.24		1.24		.87		63
	(1.67	)		16.61		(16.50	)		1,453,575		1.20		1.21		1.99		61
	(2.95	)		22.72		(13.53	)		1,949,537		1.24		1.25		1.39		42
	(1.44	)		28.86		45.69			2,582,843		1.25		1.27		1.35		39


	(.34	)		21.05		2.60			633,542		1.02		1.06		.58		32
	(.42	)		20.90		10.48			715,328		1.02		1.04		1.40		50
	(.42	)		19.28		18.24			954,350		1.01		1.02		1.09		63
	(1.67	)		16.67		(16.33	)		1,082,478		.98		.99		2.22		61
	(3.01	)		22.75		(13.33	)		1,205,196		1.02		1.03		1.64		42
	(1.49	)		28.89		46.00			1,301,424		1.04		1.06		1.59		39




	(.33	)		9.22		3.70			593,188		1.00		1.23		1.35		48
	(.26	)		9.24		7.61			766,126		1.00		1.19		2.27		77
	(.28	)		8.81		(1.85	)		1,055,967		1.00		1.17		1.95		83
	(.22	)		9.24		(19.46	)		1,525,020		1.00		1.16		3.04		122
	(.67	)		11.79		(16.20	)		1,823,516		1.00		1.19		1.94		75
	(.55	)		14.71		19.07			3,168,823		1.00		1.18		2.29		54


	(.29	)		9.16		3.44			1,971		1.43		1.65		.91		48
	(.21	)		9.16		7.09			1,896		1.45		1.64		1.85		77
	(.25	)		8.74		(2.19	)		2,151		1.43		1.60		1.56		83
	(.17	)		9.17		(19.82	)		2,537		1.44		1.60		2.65		122
	(.64	)		11.68		(16.46	)		2,852		1.32		1.51		2.04		75
	(.49	)		14.60		18.41			1,135		1.49		1.67		1.95		54

See accompanying notes which are an integral part of the financial statements.


Financial Highlights		25

SSgA
International Equity Funds

Notes to Financial Statements — February 29, 2012 (Unaudited)


1.		Organization

The SSgA Funds (the “Investment Company”) is a series mutual fund, comprised of 20 investment portfolios that were in operation as of February 29, 2012. These financial statements report on two funds: the SSgA Emerging Markets Fund and SSgA International Stock Selection Fund, each a “Fund” and collectively referred to as the “Funds,” each of which has distinct investment objectives and strategies. Each Fund is an open-end management investment company, as defined in the Investment Company Act of 1940, as amended (the “1940 Act”). The Investment Company was organized as a Massachusetts business trust on October 3, 1987 and operates under a First Amended and Restated Master Trust Agreement, dated October 13, 1993, as amended (the “Agreement”). The Agreement permits the Board of Trustees (the “Board”) to issue an unlimited number of full and fractional shares of beneficial interest at $.001 par value.

Effective July 31, 2003, the International Stock Selection Fund began offering Class R Shares. Class R Shares may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company to offer shares. The third party may be a retirement plan administrator, bank, broker or advisor.

Select Class shares of the Emerging Markets Fund, which became effective November 28, 2005, may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company or State Street Global Markets LLC to offer shares (“Select Intermediaries”). Select Intermediaries are advisors, securities brokers, banks and financial institutions or other industry professionals or organizations that have entered into a shareholder servicing agreement with the State Street Global Markets LLC with respect to investments of its accounts in the Select Class.


2.		Significant Accounting Policies

Security Valuation


	•	Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

	•	Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

	•	Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The valuation techniques and significant inputs used in determining the fair market values of financial instruments classified as Level 1 and Level 2 of the fair value hierarchy are as follows:


26		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Fixed income securities purchased on a delayed-delivery basis are marked-to-market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Investments in privately held investment funds are valued based upon the Net Asset Value (“NAV”) of such investments and are categorized as Level 2 of the fair value hierarchy.

Events or circumstances affecting the values of fund securities that occur between the closing of the principal markets on which they trade and the time the NAVof fund shares is determined may be reflected in the Investment Company’s calculation of NAVs for each applicable fund when the Investment Company deems that the particular event or circumstance would materially affect such fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as determined in accordance with Fair Value Procedures adopted by the Board. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Funds that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred


Notes to Financial Statements		27

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) State Street Bank and Trust Company (the “Custodian”), or Russell Fund Services Company (the “Administrator”), determines that a market quotation is inaccurate.

Preferred stock and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Level 3 Trading Assets and Trading Liabilities, at Fair Value

The valuation techniques and significant inputs used in determining the fair values of financial instruments classified as Level 3 of the fair value hierarchy are as follows:

The levels associated with valuing the Funds’ investments for the period ended February 29, 2012 are disclosed in the Presentation of Portfolio Holdings following the Schedules of Investments.

Securities Transactions

Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon thereafter as the Funds are informed of the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest income is recorded daily on the accrual basis. Withholding taxes on foreign dividend interest and capital gains have been provided for in accordance with the applicable country’s tax rules and rates.


28		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Federal Income Taxes

At February 29, 2012 the following Fund had a net tax basis capital loss carryforward, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:


	8/31/2012		8/31/2013		8/31/2014		8/31/2015		8/31/2016		8/31/2017		8/31/2018		8/31/2019		Total
Emerging Markets Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	97,337,228	$	—	$	97,337,228
International Stock Selection Fund	$	—	$	—	$	—	$	—	$	—	$	153,873,846	$	428,227,873	$	—	$	582,101,719

As of February 29, 2012, the Funds aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:


	Emerging			International
	Markets Fund			Stock Selection Fund
Cost of Investments for Tax Purposes	$	1,737,112,638		$	587,459,833

Gross Tax Unrealized Appreciation		721,632,471			63,072,854
Gross Tax Unrealized Depreciation		(46,432,099	)		(22,994,691	)

Net Unrealized Appreciation (Depreciation)	$	675,200,372		$	40,078,163

Dividends and Distributions to Shareholders

Income dividends and capital gain distributions, if any, are recorded on the ex-dividend date. The Funds declare and pay dividends annually. Capital gain distributions, if any, are generally declared and paid annually. An additional distribution may be paid by the Funds to avoid imposition of federal income tax on any remaining undistributed net investment income and capital gains.

The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. Permanent differences between book and tax accounting are reclassified to paid-in-capital. The differences between federal tax regulations and U.S. GAAP are primarily due to investments in swaps, futures, forward contracts, passive foreign investment companies, foreign denominated investments, and certain securities sold at a loss.


Notes to Financial Statements		29

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Expenses

The Emerging Markets Fund offers Select Class shares and the International Stock Selection Fund offers Class R Shares. All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Foreign Currency Translations

The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts and transactions of the Funds are translated into U.S. dollars on the following basis:


	(a)	Market value of investment securities, other assets and liabilities at the closing rate of exchange on the valuation date.

	(b)	Purchases and sales of investment securities and income at the closing rate of exchange prevailing on the respective trade dates of such transactions.

Reported net realized gains or losses from foreign currency-related transactions arise from sales and maturities of short-term securities; sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or pain. Net unrealized gains (losses) from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities resulting from changes in the exchange rates.

The Funds do not isolate that portion of the results of operations of a Fund that arises as a result of changes in exchange rates from that portion that arises from changes in market prices of investments during the period. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (loss) on debt obligations.

Capital Gains Taxes

The Emerging Markets Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. This Fund has recorded a deferred tax liability in respect of unrealized appreciation on foreign securities for potential capital gains and repatriation taxes at February 29, 2012. The accrual for capital gains and repatriation taxes is included in net unrealized appreciation (depreciation) on investments in the Statement of Assets and Liabilities for the Fund. The amounts related to capital gain taxes are included in net realized gain (loss) on investments in the Statement of Operations for the Fund.


	Deferred		Capital
	Tax Liability		Gains Taxes
Emerging Markets Fund	$	2,694,238	$	1,956,392

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in the Funds’ Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and index swaps. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objectives.


30		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

excess and liquidity reserve cash balances. Hedging is used by the Funds to limit or control risks, such as adverse movements in exchange rates and interest rates. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk, counterparty risk, interest rate risk and credit risk.

The effects of Derivative Instruments as shown on the Statement of Assets and Liabilities, categorized by risk exposure for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Emerging Markets Fund				International Stock Selection Fund
	Equity		Foreign Currency		Equity		Foreign Currency
Derivatives not accounted for as hedging instruments	Contracts		Contracts		Contracts		Contracts
Location
Statement of Assets and Liabilities — Assets
Daily variation margin on futures contracts*	$	73	$	—	$	—	$	—
Foreign currency-related transactions				20		—		—

Total	$	73	$	20	$	65	$	—

Location
Statement of Assets and Liabilities — Liabilities
Unrealized depreciation on foreign currency exchange contracts	$	—	$	—	$	—	$	—

	$	—	$	—	$	—	$	—


	*	Less than $500.

The effects of Derivative Instruments on the Statements of Operations for the period ended February 29, 2012 were as follows:


(Amounts in thousands)
	Emerging Markets Fund					International Stock Selection Fund
	Equity		Foreign Currency			Equity		Foreign Currency
Derivatives not accounted for as hedging instruments	Contracts		Contracts			Contracts		Contracts
Location
Statement of Operations — Net realized gain (loss)
Futures contracts	$	1,091	$	—		$	35	$	—
Foreign currency-related transactions		—		—	^*		—		(130	)

Total	$	1,091	$	—	^*	$	35	$	(130	)

Location
Statement of Operations — Net change in unrealized appreciation
Futures contracts	$	73	$	—		$	—	$	—
Index swap contracts		—		—			—		—
Foreign currency-related transactions		—		20			—		(69	)

	$	73	$	20		$	—	$	(69	)


	*	Less than $500.


Notes to Financial Statements		31

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

For the period ended February 29, 2012 the Funds’ quarterly holdings of foreign currency exchange contracts were as follows:


	Outstanding Contract
	Amounts Sold
	November 30,		February 29,
Quarter Ended	2011		2012
Emerging Markets Fund		7,008,351		2,993,612
International Stock Selection Fund		1,103,097		—

For the period ended February 29, 2012 the Funds’ quarterly holdings of futures contracts were as follows:


	Number of Futures
	Contracts
	Outstanding
	November 30,		February 29,
Quarter Ended	2011		2012
Emerging Markets Fund		397		117

Foreign Currency Exchange Contracts

In connection with portfolio purchases and sales of securities denominated in a foreign currency, the Funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts (“contracts”). Additionally, from time to time the Funds may enter into contracts to hedge certain foreign currency-denominated assets. Contracts are recorded at market value. Certain risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gain on the contracts, if any, that are recognized in the accompanying Statements of Assets and Liabilities. Realized gains (losses) arising from such transactions are included in net realized gain (loss) from foreign currency-related transactions.

Futures Contracts


	Cash Collateral
	for Futures		Due to Broker
Emerging Markets Fund	$	302,736	$	35,488

Index Swaps

The Emerging Markets Fund has entered into index swap agreements in order to efficiently participate in certain foreign markets. Pursuant to these agreements, the Fund pays the swap counterparties based on the notional amount an agreed upon rate (e.g., the 12-month USD LIBOR BBA rate). During the terms of the agreements, changes in the underlying values of the swaps are recorded as unrealized gain (loss) and are based on changes in the value of the underlying index or security. The underlying index or security is valued at the published daily closing price. Accrued interest expense to be paid to the swap counterparties or accrued interest income to be paid to the Fund, at the agreed upon dates, are recognized as unrealized gain (loss). Amounts paid to and received from the swap counterparties representing capital appreciation (depreciation) on the underlying securities and accrued interest expense and interest income are recorded as net realized gain (loss). The Fund is exposed to credit and counterparty risk in the event of non-performance by the swap counterparties. The Fund minimizes this risk by entering into agreements only with counterparties that SSgA Funds Management, Inc. (“the Advisor”) deems creditworthy. This risk is also


32		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

mitigated by investing the portfolio in assets generating cash flows complimentary to the returns it is required to pay. The Fund has segregated certain short-term investments (identified in the accompanying Schedule of Investments) as collateral for the notional amount under the index swap agreements. As of February 29, 2012, the Emerging Markets Fund had no cash collateral held in connection with swap contracts purchased (sold).

Participation Notes

The Emerging Markets Fund may purchase participation notes, also known as participation certificates or participation interest notes. Participation notes are issued by banks or broker-dealers that are designed to replicate the performance of foreign companies or foreign securities markets and can be used by the Fund as an alternative means to access the securities market of a frontier emerging market country. The performance results of participation notes will not replicate exactly the performance of the foreign companies or foreign securities markets that they seek to replicate due to transaction and other expenses. Investments in participation notes involve certain risks in addition to those associated with a direct investment in the underlying foreign companies or foreign securities markets whose return they seek to replicate. There can be no assurance that there will be a trading market or that the trading price of a participation note will equal the underlying value of the foreign company or foreign securities market that it seeks to replicate. The Fund relies on the creditworthiness of the counterparty issuing the participation note and has no rights against the issuer of the underlying security. The Fund minimizes this risk by entering into agreements only with counterparties that the Advisor deems creditworthy. Due to liquidity and transfer restrictions, the secondary markets on which the participation notes are traded may be less liquid than the markets for other securities, or may be completely illiquid.

Fund Concentration

The investments by the Funds in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency contracts with respect to the potential inability of counterparties to meet the terms of their contracts.

Investment in Emerging Markets

Investing in emerging markets may involve special risks and considerations not typically associated with investing in the United States markets. These risks include revaluation of currencies, high rates of inflation, repatriation, restrictions on income and capital, and future adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.

Guarantees


Notes to Financial Statements		33

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


3.		Investment Transactions

Securities

For the period ended February 29, 2012, purchases and sales of investment securities, excluding short-term investments and derivative contracts, were as follows:


	Purchases		Sales
Emerging Markets Fund	$	700,515,600	$	658,451,890
International Stock Selection Fund		322,155,827		499,832,469

Securities Lending

The Investment Company participates in a securities lending program whereby each Fund can loan securities with a value up to 331/3% of its total assets. Each Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company (“State Street,” the lending agent and an affiliate of the Advisor) in short-term instruments, money market mutual funds, and such other short-term investments, provided the investments meet certain quality and diversification requirements. Under the securities lending arrangement, the collateral received is recorded on a lending Fund’s statement of assets and liabilities along with the related obligation to return the collateral. At period end, all such cash collateral was invested in the State Street Navigator Securities Lending Prime Portfolio, a money market fund affiliated with the Advisor.

As of February 29, 2012, there was no non-cash collateral received for the securities on loan.

The Funds cannot repledge or sell non-cash collateral balances.


4.		Related Parties

Advisor and Affiliates

The Advisor manages the Funds pursuant to an Investment Advisory Agreement dated May 1, 2001, as amended, between the Investment Company and the Advisor. The Advisor is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Advisor and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Advisor directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Advisor, calculated daily and paid monthly, at the annual rate of 0.75% of their average daily net assets.


34		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

reimburse Class R for all expenses to the level of the cap. If only Class R is above its respective expense cap, then the Distributor will waive up to 0.70% of the average daily net assets of distribution (12b-1) and service fees.

The Advisor has contractually agreed to waive up to the full amount of the Emerging Markets Fund’s advisory fees and to reimburse the Institutional Class for all expenses in excess of 1.25% of average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waivers for the period ended February 29, 2012 was $266,770 for the Institutional Class and $115,906 for Select Class. There were no reimbursements for the Institutional Class or Select Class for the period ended February 29, 2012.

The Advisor has contractually agreed to waive up to the full amount of the International Stock Selection Fund’s advisory fees and to reimburse the Institutional Class and Class R for all expenses in excess of 1.00% and 1.60%, respectively, of each class’ average daily net assets on an annual basis until December 31, 2012 (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees). The total amount of waiver for the period ended February 29, 2012 was $753,373 for the Institutional Class and $2,077 for Class R. There were no reimbursements for the Institutional Class or Class R for the period ended February 29, 2012.

The Advisor does not have the ability to recover amounts waived or reimbursed from prior periods.

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSgA Prime Money Market Fund (“Central Fund”) (a series of the Investment Company not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Advisor will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. As of February 29, 2012, $11,579,540 of the Central Fund’s net assets represents investments by these Funds, and $16,395,075 represents the investments of other Investment Company Funds not presented herein.

Amounts related to investments in the Central Fund during the period ended February 29, 2012 were as follows:


			Purchases		Sales		Realized		Income
Funds	Market Value		Cost		Cost		Gain (Loss)		Distributions
Emerging Markets Fund	$	10,157,398	$	357,968,409	$	348,558,460	$	—	$	3,088
International Stock Selection Fund		1,422,142		35,408,062		34,559,167		—		280

Effective September 1, 2006, the Advisor has voluntarily agreed to waive a portion of certain Funds’ advisory fee equal to the advisory fee paid by certain Funds to the Central Fund. In addition, if Central Fund shares sold to and/or redeemed from a participating fund are subject under a 12b-1 Plan to any distribution fee or service fee, the Advisor will waive its advisory fee for each participating Fund in an amount that offsets the amount of such fee incurred by the participating Fund. For the period ended February 29, 2012, the total advisory fees waived are as follows:


	Amount Paid
Emerging Markets Fund	$	6,570
International Stock Selection Fund		456


Notes to Financial Statements		35

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)


	Amount Paid
Emerging Markets Fund	$	21

Securities Lending

For the period September 1, 2011 through February 29, 2012, State Street earned securities lending agent fees as follows:


	Agent Fees
	Earned
Emerging Markets Fund	$	79,023
International Stock Selection Fund		30,910

Administrator

Russell Fund Services Company (“RFSC” or the “Administrator”) serves as the Investment Company’s Administrator, pursuant to an administration agreement dated January 1, 2008 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Investment Company’s operations. The Investment Company pays the Administrator an annual fee, payable monthly on a pro rata basis. RFSC is a wholly owned subsidiary of Russell Investment Management Company (“RIMCo”). The annual fee is based on the following percentages of the average daily net assets of the Funds: $0 up to $1 billion — 0.07%; over $1 billion — 0.05%. In addition, the Administrator charges a flat fee of $30,000 per year per Fund with less than $500 million in assets under management. In addition, the Funds reimburse the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

Institutional Class


					High Net Worth
	State Street		Global Markets		Services
Emerging Markets Fund	$	26,314	$	4,518	$	1,159
International Stock Selection Fund		3,841		257		95

The Institutional Class did not incur any expenses from Fiduciary Investors Services or High Net Worth Services during the period.


36		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Class R

Select Class

The Investment Company has adopted a distribution plan with respect to the Select Class pursuant to Rule 12b-1 (the “Select Plan”) under the 1940 Act. The Select Plan provides that the Select Class pay a service fee for the performance of certain administrative functions in connections with purchases and redemptions of shares of the Select Class and related services provided to Select Class shareholders by the Distributor. Payments to State Street for shareholder and administrative services are not permitted by the Select Plan to exceed 0.025% of each Fund’s average net asset value per year. Any payments that are required to be made to State Street that cannot be made because of the limitations contained in the Select Plan may be carried forward and paid in the following two fiscal years so long as the Select Plan is in effect. There were no carryover expenses as of February 29, 2012.

Under the Select Plan, the Funds have adopted a distribution agreement with the Distributor. For these services, Select Class pays the Distributor 0.025% of the daily net asset value. For the period ended February 29, 2012, Emerging Markets Select Class paid $76,583 to Global Markets.

Board of Trustees


Notes to Financial Statements		37

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 29, 2012 were as follows:


	Emerging		International Stock
	Markets Fund		Selection Fund
Advisory fees	$	1,367,821	$	357,488
Administration fees		101,780		27,976
Custodian Fees		362,923		61,232
Shareholder servicing fees		205,546		68,483
Transfer agent fees		146,692		83,188
Trustee fees		24,637		13,200

	$	2,209,399	$	611,567


5.		Fund Share Transactions


	(amounts in thousands)
	For the Periods Ended
	Shares			Dollars			Shares			Dollars
Emerging Markets Fund	February 29, 2012						August 31, 2011

Institutional Class
Proceeds from shares sold		20,979		$	394,929			24,682		$	544,338
Proceeds from reinvestment of distributions		1,200			21,897			1,210			26,421
Payments for shares redeemed		(13,783	)		(258,024	)		(25,325	)		(557,699	)

		8,396			158,802			567			13,060

Select Class
Proceeds from shares sold		886			16,586			2,039			44,460
Proceeds from reinvestment of distributions		294			5,370			413			9,045
Payments for shares redeemed		(5,308	)		(100,425	)		(17,726	)		(392,314	)

		(4,128	)		(78,469	)		(15,274	)		(338,809	)

Total net increase (decrease)		4,268		$	80,333			(14,707	)	$	(325,749	)

International Stock Selection Fund
Institutional Class
Proceeds from shares sold		6,796		$	57,523			8,510		$	85,836
Proceeds from reinvestment of distributions		3,127			26,839			2,787			27,569
Payments for shares redeemed		(28,456	)		(244,901	)		(48,245	)		(489,311	)

		(18,533	)		(160,539	)		(36,948	)		(375,906	)


Class R
Proceeds from shares sold		26			222			79			808
Proceeds from reinvestment of distributions		7			62			5			49
Payments for shares redeemed		(25	)		(215	)		(123	)		(1,251	)

		8			69			(39	)		(394	)

Total net increase (decrease)		(18,525	)	$	(160,470	)		(36,987	)	$	(376,300	)


6.		Interfund Lending Program


38		Notes to Financial Statements

SSgA
International Equity Funds

Notes to Financial Statements, continued — February 29, 2012 (Unaudited)

when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSgA Money Market Fund could result in a lost investment opportunity or additional borrowing costs. For the period ended February 29, 2012, Miscellaneous expenses on the Statements of Operations for the Emerging Markets and International Stock Selection Funds include $516 and $0 of interest expense, respectively, paid under the Interfund Lending Program for the period ended February 29, 2012.


7.		Restricted Securities

For the period ended February 29, 2012, there were no restricted securities held by a Fund that were illiquid.

Illiquid securities and restricted securities may be priced by the Funds using the Fair Value Procedures approved by the Board.


8.		Market, Credit and Counterparty Risk


9.		Subsequent Events

Management has evaluated events and transactions that may have occurred since February 29, 2012, through the date the financial statements were issued, that would merit recognition or additional disclosure in the financial statements. During this review nothing was discovered, except for the following, which would require disclosure within the financial statements.


Notes to Financial Statements		39

SSgA
International Equity Funds

Shareholder Requests for Additional Information — February 29, 2012 (Unaudited)


40		Shareholder Requests for Additional Information

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years;

in Fund

Other

Name,

with SSgA Funds;

Term

and Other

Complex

Directorships Held

Age,

Length of

Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INTERESTED TRUSTEE

Shawn C.D. Johnson
Born March 3, 1963

State Street Financial
Center
One Lincoln Street
Boston, MA
02111-2900

Trustee since
November 2008

Until successor is elected by Trustees

• 2008 to Present, Director of SSgA FM;

• 2003 to Present, Senior Managing Director, Chairman, SSgA Investment Committee, State Street Global Advisors;

• 2006 to Present, Trustee, Berea College; Member of Berea Investment Committee, Audit Committee and Finance Committee;

• 2009 to Present, Member of Virginia Tech Foundation Investment Committee; and

• June 2008 to August 2010, Chairman, Financial Service Sector Coordinating Counsel.

None

INDEPENDENT TRUSTEES

Lynn L. Anderson
Born April 22, 1939

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• Until December 2005, Vice Chairman, Frank Russell Company (institutional financial consultant)(Retired);

• March 2007 to September 2010, member, IDC Board of Governors;

• September 2007 to September 2010, member Investment Company Institute Board of Governors;

• September 2008 to September 2010, member Investment Company Institute and IDC Investment Committee; and

• Until December 2008, Director, Russell Trust Company (Retired).

None


Disclosure of Information about Fund Trustees and Officers		41

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years;

in Fund

Other

Name,

with SSgA Funds;

Term

and Other

Complex

Directorships Held

Age,

Length of

Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall
Born December 12, 1942

1301 Second
Avenue, 18th Floor
Seattle, WA 98101

Trustee since 1988

Chairman, Audit
Committee

Member, Governance
Committee

Member, Valuation
Committee

Member, Qualified
Legal and Compliance
Committee

Until successor is elected by Trustees

• Certified Financial Planner and Member, Financial Planners Association; and

• Registered Representative and Principal for Securities with Cambridge Investment Research, Inc., Fairfield, Iowa.

None

Patrick J. Riley
Born November 30, 1948

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Until successor is elected by Trustees

• 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts;
• 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);
• 1998 to Present, Independent Director, State Street Global Advisors Ireland, Ltd. (investment company); to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm);
• 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc);
• January 2009 to Present, Independent Director, SSgA Fixed Income plc; and
• January 2009 to Present, Independent Director, SSgA Qualified Funds plc.

None


42		Disclosure of Information about Fund Trustees and Officers

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)

Number of

Principal Occupation(s)

Portfolios

Position(s) Held

During Past 5 Years;

in Fund

Other

Name,

with SSgA Funds;

Term

and Other

Complex

Directorships Held

Age,

Length of

Relevant Experience,

Overseen

by Trustee

Address

Time Served

Office

Attributes and Skills⁽¹⁾

by Trustee

During Past 5 Years

INDEPENDENT TRUSTEES (continued)

Richard D. Shirk
Born October 31, 1945

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1988

Member, Audit Committee

Member, Governance Committee

Member, Valuation Committee

Chairman, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired);

• 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare);

• 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation);

• September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care);

• 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and

• 2003 to 2009, Trustee, Gettysburg College.

None

Bruce D. Taber Born
April 25, 1943

1301 Second Avenue,
18th Floor
Seattle, WA 98101

Trustee since 1991

Member, Audit Committee

Member, Governance Committee

Chairman, Valuation Committee

Member, Qualified Legal and Compliance Committee

Until successor is elected by Trustees

• 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division);

• Until December 2008, Independent Director, SSgA Cash Management Fund plc;

• Until December 2008, Independent Director, State Street Global Advisors Ireland, Ltd. (investment companies); and

• Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).

None


(1)		The information reported includes the principal occupation during the last five years for each Trustee and other information relating to the professional experiences, attributes and skills relevant to each Trustee’s qualifications to serve as a Trustee.


Disclosure of Information about Fund Trustees and Officers		43

SSgA
International Equity Funds

Disclosure of Information about Fund Trustees and Officers, continued —
February 29, 2012 (Unaudited)


	Position(s) with
Name,	SSgA Funds; and	Term
Age, and	Length of	of	Principal Occupation(s)
Address	Time Served	Office	During Past Five Years
OFFICERS
James E. Ross Born June 24, 1965 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	President and Chief Executive Officer from January 2006 to Present; and Principal Executive Officer since 2005	Until successor is elected by Trustees	• 2005 to Present, President (2001 to 2005, Principal), SSgA Funds Management Inc. (investment advisor); • March 2006 to Present, Senior Managing Director (2000 to 2006, Principal), State Street Global Advisors; and • President, Principal Executive Officer and Trustee, SPDR Series Trust, SPDR Index Shares Funds, State Street Master Funds and State Street Institutional Investment Trust; President and Trustee, Select Sector SPDR Trust; President and Principal Executive Officer, State Street Navigator Securities Lending Trust (registered investment companies).


Ellen M. Needham Born January 4, 1967 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Vice President since May 2006	Until successor is elected by Trustees	• Chief Operating Officer and Senior Managing Director, SSgA Funds Management, Inc. (investment advisor); • March 2011 to Present, Senior Managing Director (July 2007 to March 2011, Managing Director; June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors; and • Vice President, State Street Master Funds and State Street Institutional Investment Trust (registered investment companies).


Jacqueline Angell Born October 12, 1974 State Street Financial Center One Lincoln Street Boston, MA 02111-2900	Chief Compliance Officer since April 2011	Until successor is elected by Trustees	• July 2008 to Present, Vice President, State Street Global Advisors; and • April 2006 to June 2008, Director, Investment Advisor Oversight, Fidelity Investments.


Mark E. Swanson Born November 26, 1963 1301 Second Avenue, 18th Floor Seattle, WA 98101	Treasurer and Principal Accounting Officer since 2000	Until successor is elected by Trustees	• 2009 to Present Head of North America Operations, Global Operations, Russell Investments; • 1998 to 2009, Director, Fund Administration, Russell Investment Management Company, Russell Fund Services Company, Russell Trust Company and Russell Financial Services Company; and • Treasurer and Chief Accounting Officer, Russell Investment Company and Russell Investment Funds.


Mary Beth Rhoden Born April 25, 1969 1301 Second Avenue 18^th Floor Seattle, WA 98101	Secretary and Chief Legal Officer since 2012	Until successor is elected by Trustees	• 1999 to 2012 Assistant Secretary Russell Investment Company and Russell Investment Funds; • Associate General Counsel, Russell Investments; • Secretary, Russell Investment Management Company, Russell Fund Services Company and Russell Financial Services, Inc.; and • Secretary and Chief Legal Officer, Russell Investment Company, Russell Investment Funds and Russell Exchange Traded Funds Trust.


44		Disclosure of Information about Fund Trustees and Officers

SSgA
International Equity Funds

State Street Financial Center
One Lincoln Street
Boston, Massachusetts 02111-2900
(800) 647-7327


Trustees Lynn L. Anderson Shawn C.D. Johnson William L. Marshall Patrick J. Riley, Chairman Richard D. Shirk Bruce D. Taber Officers James E. Ross, President, Chief Executive Officer and Principal Executive Officer Mark E. Swanson, Treasurer and Principal Accounting Officer Ellen M. Needham, Vice President Jacqueline Angell, Chief Compliance Officer Mary Beth Rhoden, Secretary and Chief Legal Officer Ross E. Erickson, Assistant Treasurer Kimberlee A. Lloyd, Assistant Treasurer David J. Craig, Assistant Treasurer Carla L. Anderson, Assistant Secretary Investment Advisor SSgA Funds Management, Inc. State Street Financial Center, One Lincoln Street Boston, Massachusetts 02111-2900		Custodian and Office of Shareholder Inquiries State Street Bank and Trust Company 1776 Heritage Drive North Quincy, Massachusetts 02171 Transfer and Dividend Paying Agent Boston Financial Data Services, Inc. Two Heritage Drive North Quincy, Massachusetts 02171 Distributor State Street Global Markets, LLC State Street Financial Center One Lincoln Street Boston, Massachusetts 02111-2900 Administrator Russell Fund Services Company 1301 Second Avenue 18th Floor Seattle, Washington 98101 Legal Counsel Goodwin Procter LLP Exchange Place Boston, Massachusetts 02109 Independent Registered Public Accounting Firm Deloitte & Touche LLP 200 Berkeley Street Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers		45

IESAR-02/12

Item 2. Code of Ethics. [Annual Report Only]

Item 3. Audit Committee Financial Expert. [Annual Report Only]

Item 4. Principal Accountant Fees and Services. [Annual Report Only]

Item 5. Audit Committee of Listed Registrants. [Not Applicable]

Item 6. [Schedules of Investments are included as part of the Report to Shareholders filed under Item 1 of this form]

Items 7-9. [Not Applicable]

Item 10. Submission of Matters to a Vote of Security Holders

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.

Item 11. Controls and Procedures

(a) Registrant’s principal executive officer and principal financial officer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940 (the “Act”)) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the date this report is filed with the Securities and Exchange Commission.

(b) There were no significant changes in Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected or is likely to materially affect Registrant’s internal control over financial reporting.

Item 12. Exhibit List

(a) Certification for principal executive officer of Registrant as required by Rule 30a-2(a) under the Act and certification for principal financial officer of Registrant as required by Rule 30a-2(a) under the Act.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

SSgA FUNDS


	By:	/s/ James E. Ross
		James E. Ross
		President, Chief Executive Officer and Principal Executive Officer

Date: May 02, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.



	By:	/s/ James E. Ross
		James E. Ross
		President, Chief Executive Officer and Principal Executive Officer

Date: May 02, 2012


	By:	/s/ Mark E. Swanson
		Mark E. Swanson
		Principal Financial Officer, Principal Accounting Officer and Treasurer

Date: May 02, 2012

Non-Cash

Collateral Value

Non-Cash Collateral Holding

IAM SHARES Fund

Pool of U.S. Government and Foreign Bonds